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As already emphasised, dont take weapons or anything that can be considered tools for burglary. I've had cops try arresting me for just having a pair of builders gloves and a backpack until they saw my expensive SLR camera and realised I was just an idiot who liked climbing on and into buildings. I climb and explore buildings in the centre of towns/cities that are abandoned or being done up though so I probably seem more suspicious.
Dress as normal. Dont kit yourself out with balaclavas and shit. Pair of old jeans, tshirt, hoody or jacket. If you look like a chav, thief, junkie you'll get in far more trouble when caught.
If the cops or security show, don't run. Much easier and safer to hide or just calmly explain yourself if caught. Hiding is even easier the higher up you get as cops and security usually only check the ground floor. They can be surprisingly unobservant if you remain still. I've been looked directly at but never noticed before.
If you just want to climb onto rooftops, banks are surprisingly generally the easiest to get roof access onto. They can also be worryingly lax about building security and leaving customer details in piss easy reach (curiosity really could have fucked me over that day)
Most importantly, have fun exploring somewhere most people will never experience. Stay on your guard but relax and enjoy it. Don't worry too much about being caught or whatever
