It would be hypocritical of me to suggest against urban exploring and say that I don't condone it. I do condone it. But it's a risky hobby. If you must wander around aimlessly in abandonments, at least be safe about it.
Excercise common sense. If it sounds like a stupid idea, it is. So don't go walking on unsturdy floors, or playing with the circuit boxes or stuff like that. You can't really know what old unused wiring will do when given power for the first time in 30 years.
If by some chance you screw up and hurt yourself, don't sue the owner of the property. That's a douchebag move. You're not supposed to be there anyway. It's not fair to hold them liable for injuries sustained while you're there without their permission.
And also I don't condone theft or vandalism or any of that immature crap.