Khan el-Khalili is infamous for its pickpockets. Stay on your guard in crowds, but don't be afraid to venture into the smaller, darker alleys — they're quite safe, and you'll find the more interesting shops here.
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Modest clothing is definitely the order of the day in this part of town. Women with bare legs and shoulders will be asked by many custodians of mosques to use smocks to cover these bare parts. Shoes should be removed before entering mosques. Though some mosques do use slippers that are tied on over the shoes as an alternative.