Its not just women. In Stockton there are robberies every day. One of the Stockton Officers told me they average about 5-10 armed robberies every day. I'm sure more than a few are in parking lots.
One of the more popular methods is the suspects ask the victim what time it is. When the victim looks at their watch they get sucker punched. Some take the cell phone and throw it away to give them more time to get away.
Lots of good ideas here....Pepper spray is not too bad to carry.
If you go shopping try to go with others....groups are always a deterrent. As others have stated ask for an escort from the store.
Better yet state you have an injury to your arms, wrists, shoulders or whatever and need assistance placing the items in your car. That will get a faster response than a "security" escort.