When I lived in Alphabet City, back when it was still terrifying and they wrote Rent and the yuppies hadn't overrun the place...
I got out of the shower at 2:00 am. I was wearing a towel. I heard a noise on the fire escape off of my bedroom. I called 911 and by the time I got down the four flights to let the police in they were there. They went in with weapons drawn, covering one another as each turned corners while I stood in the hallway in my towel.
Finally they told me to come in and point out each room and closet in the apartment to make sure they hadn't missed anything (them still with drawn guns, me still with towel).
When I walked into the bedroom I saw that the gate was still locked, but the window was open. I asked the police and they had not opened it. They went and searched the roof but the guy was gone.
It was pretty fucking scary -- didn't sleep that night, went to Mom's for a few days -- but everything that was supposed to work did, you know? The gate held, the police were there in an instant, the towel stayed on...