It is job of parents to protect their children, but since we can't lock our kids in a padded fortress and keep them from using pencils out of fear that they'll poke their eyes out, it's up to us to teach them how to protect themselves.
There are basic skills that every kid needs to know. What surprises me is how many parents I talk to who insist that their children have these basic skills, but in reality, when tested, their kids only have a fraction of them, and in an emergency, this lack of knowledge and skill can have dire consequences.
Don't just assume that you're children know how to get out of a burning building through the window. Have a fire drill, and find out if they can really do it. Don't assume that you're children know that they shouldn't talk to strangers. Try having a trusted friend approach your kids while you're lurking from the shadows, and see what they do.
It's better to find out now what skills your kids already know and what they need to learn rather than finding out what skills they lack when they really need them.
See the list essential safety skills for kids at
http://www.kristensguide.com/Family/Parenting/Empower_Children/essential_safety_skills.asp