At the railway station.
We travelled in a small group and at one stage probably had a group of about 50 to 60 boys around us. They mostly wanted to have photos taken and to be honest, check out a few pretty girls who were with us! Although it felt slightly uncomfortable, it never really felt threatening like it would if the same situation happened back home in London.
You will get a few beggars on the platforms, and they can be quite persistent because they know you are there for a long time waiting for your train. I would advise keeping a careful eye on your possessions as a couple of times we caught stray hands trying to remove our bags.
If you do get hassled talk to the station manager and he will help you out.
As I may have mentioned in a tip in other Indian cities, I'm pretty suspicious of macaques. They exhibit some very aggressive behaviour and I think it's best to exercise caution around them.
On the other hand, langurs (with the soft frame of fur around their faces) never displayed anything but timid behaviour.