a) I've done just what Geekwitha .45 describes -- I used to live right near one of those entrances; I got folded into the wrong lane of traffic, forced to cross bridge, had to pay for the right to leave New Jersey
Naturally, I *should* have been carrying cash, but I wasn't -- I'd just intended to go the mile-or-two to Temple Univ. from downtown. So I stopped at the first place I could find in NJ with an ATM, to get cash and to turn around. Scary. Never felt quite so much as prey as I did there, incl. on various tourist trips to poor parts of the world, or traveling alone in Mexican border towns.
b) The Art Museum district (starting a few blocks west of Broad street, and going from the Art Museum itself a few blocks south of Spring Garden, north until approx. Fairmount is how I'd block it out, but that's not official) is a really nice neighborhood. I'm there dogsitting right now, and it's one of the few places that I've felt fine walking around at night in Philly (never been to Manyunk). Of course, I'm not walking around alone, but rather with a 3-year-old mutt with a chip on its shoulder and (we think) some German Shepherd blood.
c) All the cops from whom I've heard an opinion are suspicious / skeptical of armed citizens; only THEY are professional enough, goes the theory. Some have demurred a bit, but the overwhelming attitude I get from Philly cops is the usual "too many guns on the street" one -- in other words, that good people having guns just means that the bad guys will steal them down the road and use them in muggings. So, follow the law, but don't expect any warm congratulations from Philly cops, but just the opposite. You might get lucky and meet some exceptions instead.
timothy