Signage is a problem for the independent traveler in China. This is perhaps best illustrated by the fine large map near where the local bus stops for visitors to the Longmen caves. It was placed so the east side is to the west and the west to the east. It was placed on the wrong side of the pedestrian walkway. When in doubt, trust your compass and/or follow the people.
I've been in quite a few train stations by now, and the one in Luoyang is one of the worst. It's extremely chaotic, especially around the entrance, and dark and not really clean. My wife also hates it to go there. The first time I was there I felt really uncomfortable, and only the last couple of times I felt more at ease. A couple of times I saw someone kind of following us, but I don't know what his intentions were. Maybe he just never saw a foreigner before (which is still the case for some Luoyang people) or maybe he was looking for a chance to steal something. In any case, I never got robbed there.
So my tip: Try to prepare yourself on the uncomfortable feeling of walking around in a dark, crowded train station, but keep in mind that it's not as dangerous as it looks. (but still, keep an eye on your belongings!)
All over the city, you will find constructions. Although they are generally surrounded by a fence, you never know when a truck will come out. The same way cabs won't always stop for you, the construction workers don't expect you to watch by then entrance.