There are even pages devoted to advising people on how to handle this situation.
http://voices.yahoo.com/what-if-someone-starts-following-ten-safety-4283487.html
1 - Don't panic. Take deep breaths; calm yourself so that you can think clearly. Get your mind on looking around you to see if there is someplace safe you can go.
2 - Don't assume. They may not be following you, but also don't take any chances. Always assume the worst so that you will take the maximum precautions.
3 - Look for the nearest place that has other people. It's better to be around other people if someone has started following you. There is safety in numbers. If you know of a place where other people are gathered, go there, right away. It doesn't matter if they are strangers or not, just get to where other people are, even if it means interrupting gatherings or other personal occasions. If necessary, let yourself into someone's house; whatever it takes to get to safety.
4 - Run. If you think someone is following you, start running right away, don't wait for them to get closer.
5 - Scream. Yell and scream as loud as you can, while running. Don't let the possibility of embarrassment at being wrong stop you from screaming. Yell for help, so that others who hear you will know what you need.
6 - Use your cell phone. Call the police, or a cab or anyone else in the nearby vicinity that can come help you. Don't waste your time calling someone far away that cannot do anything for you.
7 - Drive to a police station. If someone follows you while driving, try to get their license plate number while driving to a police station.
8 - Do not stop. If you believe you are being followed, don't stop to check who they might be or to talk on your cell phone, or to cry or anything else. All of these things can be done while walking or running. Just keep moving, away from whoever it is that is following you.
9 - Look for places of refuge and weapons. Look for places where you can hide, or at least keep yourself safe. Also, look for anything you can use as a weapon should it become necessary to protect yourself. Consider anything mad of metal that would main should it be used to strike someone.
10 - Don't talk to them. If they call out to you, or signal you, don't respond. They may be trying to slow you down or confuse you to get the advantage. Simply ignore them and keep moving.
Weird, this writer seems to understand that a stranger who's following you is a cause for concern.