Normally, when there's the least difficulty I head for one of the multi storey car parks. The difference being, from their UK counterparts, that they tend to go down rather than up. Hectares of car parking buried under city streets.
The protocol is headlights on. My only complaint is that whoever designs these places must laugh wickedly to themselves as they ensure that the entrance ways are as narrow and as curvy as possible with lots of hazardous protrusions. The paint scrapes along the walls testify to the fact that other people find them tricky too.