There are lots of great suggestions here already. I definitely agree that making friends with your neighbors will help. In addition, make sure you swap phone numbers/emails/instant messaging names with the neighbors you trust, so that if you do hear or see something suspicious, you can notify one another. One thing that makes me feel much more secure is the online group for my neighborhood. If I hear or see something, I check the group, and there's usually a message about it. It might be someone posting that they see someone unusual skulking around, or another person griping about an early delivery at a neighbor's house that they weren't notified about in advance, so I can stay inside my house, rather than having to go outside to see what's going on. Many of my neighbors also have security cameras and lights, so that tends to deter thieves.
As far as at home, there are many implements that could be used as weapons, if push came to shove. I keep something in every room, because you never know what is going to happen, or where you will be if it does happen. Many items, such as bats, have already been mentioned. Kitchen knives could be used for protection, so could an ice pick or a tire iron.