I can't remember the amount of times that I've slept in my car. It's been a lot though, and I know I've saved several thousands of dollars by completely avoiding a hotel. I've done it so many times now that I often wake up in my bed and realize that I'm not in the car and get a little bummed out about it since it means I'm not on an adventure of some kind.
The first time I did, it was pretty difficult. It's scary to think that somebody might come up to your car and either try to steal from you or worse try to hurt you. Even cops feel like the enemy because many states have laws against sleeping in residential areas and the ones that don't still have a culture that looks down on that kind of behavior.
After a while, though, it gets pretty easy and second nature. Even though it's rare, you learn to avoid problem areas where trouble might actually come up. I've found it's best to avoid residential areas. I've heard from others that the cops get called around there because a nervous housewife thinks you're some kind of kidnapper waiting to strike. Unlit areas off the side of the road are generally a bad idea, too, because they're common areas of vehicle theft.
The best areas I've found are usually public parking lots, especially those that are near large department stores such as Walmart. They're often well lit with 24 hour security that doesn't care one bit if you sleep in your car. Some businesses are also open all night so you won't have to sneak off to the bushes when nature calls. Also, thanks to modern day capitalism they're just about everywhere! Of course, be sure to ask around and make sure that they won't tow your car while you're asleep. I know Walmart always allows people to sleep overnight and most other stores will, too. A good rule to keep is that if you're the only car in the parking lot then it probably means they haven't come for your car yet!