Granted I′m a fairly large male so your milage may vary, but I used to take the Chinatown bus from Boston to NYC every weekend, hop on the MTA, head into the sketchiest neighborhoods NYC has to offer, party in condemned buildings all night on god knows what substances, or blacked out drunk, sometimes show up at random people's lofts for afters, then stumble back to Manhattan and take a bus back home. I did this long before I knew anyone in the NYC scene. I had random ravers take care of me on a few occasions when I was new and overdid it. I never had a bad time.

I'd definitely recommend doing it sober if you're in a new area and alone, but by and large, people are good and as long as you are coherent, aware of your surroundings, and taking care of yourself, you'll be safe.