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I'm on a roll so now I'll talk about planning.
Planning is key to your entire UE adventure. I case out a place for at least two days before I do anything. The first thing you should look for is vehicles in the vicinity of the building. Make sure the building is vacant before heading in.
Next I check to see if there is any power to the building. Look for lights on the exterior or interior. If possible look at the electrical meter. If there is no reading then that means there probably is no power. And we probably wont need to worry about alarms.
Research the building to the best of your ability. You may be able to get some floor plans or photos of the place that will help you out. Any intel you can get before you enter will be useful. I'm a history buff so I love to learn about any history before I do some UE.
Make sure you wear darker clothes. Not necessarily all black, don't be a cop magnet. I bring my tools, medical kit, radio and throat mic, two emergency flares, cameras, headlamps, etc. If you think you might need it bring it. This isn't an Appalachian Trail Thruhike, this is dangerous. Be smart and safe. I've even brought gas masks and environment sensors when necessary.
And watch for squatters. Most of them mean no harm but there are a lot of druggies that could fuck with you.