I spent an entire year traveling in Europe and SE Asia and these were the sandals that I wore 70% of the time (basically, whenever it wasn't raining): http://www.zappos.com/keen-emerald-city-3-point-slate-black
I got them in brown (why do they only have red and gray now??) and they are so comfortable! The footbed is squishy and soft, they never gave me a blister, and I've even run in them a few times w/o having them slip off (not recommended, but, well... it happens). I also get a lot of compliments on them. Highly recommended! :)
To protect against pick-pockets: 1.) Don't keep anything in your pockets, ever. 2.) Get a cute crossbody bag instead of a purse or backpack. You can carry it across your shoulder normally most of the time, but when you're walking in a crowd or on the subway you can just slip it around to rest in front of your hip and sling your arm over it.