I've never had any real trouble but I've left places I didn't feel comfortable just to be able to sleep better. I've taken my dog with me for company but pets can be a hassle at times and I took her with me more when I was home every weekend, for her sake and mine. Some suggestions though: Loop your seatbelts through the door handles when you go to sleep, it just makes me feel better (especially in places like Dallas when there are an equal number of crackheads and lot lizards as there are drivers), if it's late and you know the only parking is going to be in the north 40, pull through the fuel island (no, I'm not saying block it, I'm saying pull all the way through as if you have fueled) and go inside to get whatever you may need for the night; this will save walking from the very back of the lot, alone; get a
port-a-potty to avoid using rest area restrooms, to save time stopping and parking through the day and having to ''beat your bladder'' to get inside to a restroom in the morning.
Most importantly, don't walk through the parking lot, day or night, like you're apologizing for being there; make eye contact and be aware of your surroundings at all times.