From Wikitravel.com:
Marrakech is a generally safe city, with a solid police presence. However, staying alert about your surroundings and taking general safety precautions is always a good idea like everywhere. Here are some tips:

Violent crime is normally not a major problem, but thefts are known to happen. Keep your money close and hidden, and avoid poorly lit streets or alleys at night.

Guides offering their services should display an official badge from the local tourist authorities.

Morocco is under an increased threat from international terrorism. Be vigilant when you’re out and contact authorities if you notice anything suspicious.

Be especially careful about being drugged, especially as a solo traveller. The common and easy-to-make drug GHB only lasts three hours and is undetectable in the body after 7 hours, so if you are attacked, take action immediately.

Be careful ordering room service if you are a solo traveller, as even older women can be targets for robbery. Don’t ask the waiter to enter your room.

Be especially careful in the Guéliz (New Town) area when walking at night – muggings and bag snatches, often at knifepoint, by men on motorbikes are common when leaving the bars and restaurants.

If driving in Marrakech be very careful to observe roadsigns and traffic regulations. Although the traffic seems chaotic, the police are very keen on stopping foreigners and will not hesitate to impose on the spot fines (especially if you have left your driving license at the hotel).

Marrakech has many stray cats. These do not pose an immediate threat to most travelers (they are not aggressive) but do have a high risk of carrying fleas in their fur.

Some of the tent food stalls in Jamaa el Fna will overcharge you heavily, e.g. giving you a bill amounting to Dh 470 for just some mediocre street food for three. Beware of restaurants that are not full of locals, and always check 

Drinking water

The tap water in Marrakech is OK for bathing. While locals drink it with no problems, visitors often find it hard to digest. To be safe, opt for bottled mineral water, available at the marketplace kiosks and food stalls. Make sure that the cap seal has not been broken, since Moroccan vendors have been known to save money by refilling plastic bottles from the tap. At restaurants, ask for your drinks without ice cubes, which are usually made with tap water.

Toiletries
An important issue concerning toiletries in Marrakesh, and the cities around as well, is that, in general, commercial establishments, cafés and restaurants also, do not have toilet paper in their bathrooms, even in ladies’s rooms. So a good practice is always to carry toilet paper with you.

Scams
If you look like a tourist, then it is common for people to offer to help with directions or even lead you to what you are looking for. Although not apparent at first, these people expect to be paid and will often lead you round in circles to increase the amount. Be careful when exiting your taxi, scammers may grab your luggage from the trunk while posing as bellboys from the hotel, so confirm their identity before letting anyone touch your bags. Also, people may say that the place you are looking for is closed, but they will take you somewhere else that’s better. This is almost always a lie. The best people to ask for directions are people behind a counter, as they cannot lead you because they don’t want to leave their stall. If you are seriously lost, getting someone to lead you back is an option, but you should not give them more than Dh 10-20, no matter how much they complain.

Moroccans are not permitted to be guides for foreigners without a license. Usually Police officers (under cover) are patrolling to catch Moroccans who are bothering tourists or try to make some money.
There are often people in Djemaa El-Fna offering henna tattoos, which are popular with locals and tourists alike. But among the many genuine traders are one or two scam artists. They appear very charming and trustworthy while you choose a design, but will then cleverly divert your attention. Before you know it, you have the beginnings of a rather poor henna tattoo. Even if you do not want a design, keep your hands away from them as they will grab your hand and begin a design anyway. The scam artist later demands massive payments, in whatever currency you have (dirhams or not). After emptying your pockets, if they consider you can afford more, they will demand that you visit a nearby ATM. Always agree on a firm price before work starts. If you can’t do this, insist that the operator stops immediately — then go to another (hopefully more reliable) operator to get your design completed. If they say it is free before they start or while they are doing it, they will always ask for a price later on. If this happens to you, you can walk away without paying; however, they will harass you for a little before giving up and moving on to another tourist. Also, there have been stories of these scam artists using henna mixed with dangerous chemicals, such as PPD (this is sometimes done to make the tattoos appear black), which can cause skin damage or severe allergic reactions.
Some tourists encounter an elderly lady offering henna in the main square – she welcomes you to her stall, and then fetches her friends (who arrive, usually, on motor bikes) and will provide you with very appealing tattoos – however, beware – they will not agree a price upfront and will ask for huge amounts – e.g. a 50Dh tattoo will be 450Dh – or they will promise you free tattoos and then charge equally large amounts. When you dispute the amount they will scream at you – so be calm, pay them what you think it is worth, and walk away. If they try to stop you then create attention – however, do not use physical violence as these artists work in gangs and before you know it you’ll be surrounded by other con-artists.
There is a small nameless restaurant inside the markets catering to tourists. It looks like a budget restaurant but has extremely inflated prices. It has an awning with painted faces and offers grilled brochettes for Dh 40 each, which is much higher than the regular price.
Most Moroccans are tourist-friendly and are not aggressive, so sometimes making a fuss in public can generate unwanted attention for a scam artist and shame them into backing off.
When bartering, know what currency is being quoted. Some sellers quote in euros while allowing the buyer to assume dirhams, hoping they may be embarrassed/confused into making the sale anyway.