I have traveled quite a bit on my own and love it. I met a fellow solo traveler this summer and we both found only 2 things we hated about solo travel, no one that speaks english to take your photo and having to use the bathroom in the airport or train station with no one to watch your luggage.
Personally I put everything I don't want stolen in my day bag eg. ipod, camera and never let that out of my site (of course I also wear a money belt). For trains I find you often have to put your bags in the racks at the ends of the car and you can not always have your eye on it, so someone can hop off with your bag at any stop. I have to travel with a lock anyway for hostel lockers so I bring a bike a coil with me, and use the lock for my locker on the bike coil. I am always prepared to lose my luggage just in case it happens. The only country I found this was not necessary was Switerland.