Warning! Nairobi isn't referred to as 'Nairobbery' for nothing. The areas around River Rd and Uhuru Park are particularly notorious for muggings, day or night, as are the beaches near Mombasa. Since any encounter with the police is likely to end with money changing hands, you'd have less chance of being fleeced if you strapped a gazelle to your safari suit and went jogging among a pride of lions.
Any travel between Isiolo in Kenya and Ethiopia needs to be done in convoy, with an armed escort, due to the threat of banditry. There are also bandits operating near Lamu and in Kenya's northwest and northeast. Ask for advice locally.