Watch out for pickpockets. Girls, only pack purses with zippers and keep your purses in front of you at all times.
Make several copies of your passport and keep them in different places.
If possible, when you arrive in your study abroad city, buy a metro pass that offers unlimited rides for 3-4 months (many offer student discounts).
Take a bus tour when you get to your study abroad destination. This will help you to familiarize yourself with the city.
Make sure to pack enough of your prescribed medicines in clearly marked bottles. Don't plan to fill prescriptions in foreign countries.
Have your phone unlocked already when you leave America.
Keep a journal to write in and document every single day.