I was robbed in Ajijic when I was taking care of the home of expatriates who had gone back to the states to visit family. There was a power outage and during the blackout someone scaled the walls and ransacked the house. I was actually home at the time and never even knew they were there because I was in the study working on the computer with the door closed. Came out to get a snack and found drawers open, things all over the floors. Called a friend who called the police. The police weren't helpful at all. In fact, I was required to go to the police station the next day and was treated very poorly.
I've spent an enormous amount of time in Mexico. Largely in San Miguel and Ajijic, two expat havens. I've also lived short term and long term in lots of other countries. My camera was stolen in Prague on a tram. I've yet to find a place without some crime. Malta might come the closest. I've been wintering in Spain and as of yet have not encountered in problems but I'm sure they exist.
The US is a very dangerous place. I was at a bus stop in Malta once and struck up a conversation with a young chap who expressed an interest in one day visiting Miami. He said we was afraid, however. I asked him why and he pointed his fingers at me and mimicked pulling a the trigger of a gun. The US is notorious for gun violence.
Having said all of the above, I would return to Mexico. But wherever I go, I don't stay out late at night. I don't carry my passport around with me. I don't get drunk on a social outing. Because the last thing I want is to get involved with the wrong crowd in a foreign country. I don't even want to get involved with the police while abroad.