Everyone should have a copy of this book by Gavin De Becker, The Gift of Fear. He protects celebrities like Madonna from mad stalker types.
In the book, he explains the difference between anxiety, which is never very helpful, and real fear, which is a necessary tool for self-preservation; he also teaches about how one can come to trust oneself, especially for women, as we are taught to be nice, which can override that natural instinct for self-protection. He talks a lot about the murder of Rebecca Shaefer, a young US TV actress who was murdered in her own doorway by a mad stalker back in the 80s.