I've lived in Milwaukee for a couple years and have not yet had anyone try to jump me, whether riding my bike, or walking around at bartime. It mainly depends on the neighborhood and time of day. It's not really fair to say "don't visit Milwaukee," in my opinion.
As for packing, it's illegal here in Wisconsin. From what I hear, though, a lot of Milwaukee delivery drivers illegally carry concealed weapons, and have been let off on several occasions for firing at an assailant. I've considered carrying my CZ (pictured in avatar) here in town, but it kind of limits where you can go and what you can do.