Pro-Tip: Don't bring anything anywhere unless you're prepared to lose it.
Pro-Tip, Part II: If you need to bring it (ie a Phone) or it's something you really want (ie iPod), keep it on your person at ALL TIMES.
Front pockets are the best as they are the hardest for people to pick and for things to fall out of. I keep my phone in my right front pocket, with nothing else in it, and my iPod in my left, with nothing else in it, whenever I do anything. If I don't have them with me, it feels really strange, so I notice right away. It's a pretty good system. If I know I'm going somewhere that I don't want to risk breaking or losing something (my iPod at a concert), I make sure to leave it at home. Not in a car. Not in a bag. At home.