I asked this same question about a year ago when my son started Kindergarten. I got a LOT of great advice.
Many of the moms suggested I sit down with him and just have a chat. We colored pictures while we talked. He understood that he has "boy parts" and I have "girl parts", and that they're only for us to see. He got concerned though, when he remembered he had to take his shirt off at the doctor once. I explained that it's ok if we're with Dr. McCoy because Mom and Dad are there. He understood that only Mommy and Daddy can see you undressed, which led us to another question. His friend downstairs has a mom, too, so since she's a mom does that mean she can see him undressed, too? I said no, and then he got it: only HIS mom and dad. (He seemed pretty satisfied with himself that he thought that up all on his own too, hehe) There was another post on here a while back where a mom suggested the "swim suit" rule. If it's covered up by your swim suit, no one else should see it.
I also talked to my son about strangers, what to do if he's approached by one, who to talk to, etc. It's alot to talk about all at once, so over the next week we sat down and talked a little more every day, and I'd ask him to tell me what he remembered. We also did some roleplaying (we each took a turn as the stranger and as the child) and I think that really helped him.
I know that all these things are terrifying to parents. I feel the best thing we can do is to keep a level head and teach our children how to deal with these situations should they (God forbid) ever happen. The more informed our children are, the safer they will be.