Depends on where you are and the general situation. I'll assume you're a female, you're alone and not expecting to meet someone you know at the place where you are at that point of time.

Your main objectives are:

A) Get somewhere public and illuminated.

B) Draw someone's attention and let them know of the situation.

C) Ask them to escort you to whatever means of transportation out of that place you have. In case someone is picking you up, asking the person to stick with you until then.

Say you're out downtown at night and you notice some dude is following you.

Ideally, you'd go to a police station and explain what's going on. Sometimes police stations aren't around. Convenience stores might be. A restaurant might be. Some place might be. And most of the time, they are illuminated.

You walk in, grab the attention of the first worker you can and tell them "Hey, I'm Sarah (or whatever name) and there's a guy outside, such and such, following me. Can I stay here for a while?"

Ask them to keep an eye out for the description of the person coming in, and if they come in call the police. Chances are it's not the first time they're stalking someone.

In the meantime you call whoever or call an uber or do whatever you can to get a hold of some safe form of transportation.

Some people are afraid of "making a scene". That doesn't exist when you're talking about your safety. Even if it's just paranoia or a coincidence, better safe than sorry.