Building my first adventure...

I'm a little confused about city stat blocks. Crime +4? Economy +6?

When do these types of things come in to play exactly? Specifically, the spellcasting and crime stats...I'm also a little confused about the magic items stat block as well...A sample city from the Gamemastery Guide shows a town with 4d4 minor magic items...So, do you roll 4d4 to determine exactly how many items are offered in that town or what?

I'm also curious about creating NPCs...let's look at the sample Guard NPC provided in the GMG. 3d10+3 HP. Where is the +3 coming from? His con modifier is +1 and as far as I can tell, he's not wearing any magical items.

The city stat blocks are outlined in the GameMastery Guide (or here). Basically, Crime gives you a modifier on Sense Motive and Sleight of Hand checks, while Economy gives you a modifier on Craft, Perform and Profession checks to make money. The "4d4 minor magic items" tells you that there are between 4 and 16 minor magic items available in that town (the exact method to determine what items begin on page 118 of the GameMastery Guide, or here).

The Guard NPC is a 3rd-level warrior, hence the +3 bonus to his hp - he gets a +1 for every level that he has.

"Crime: Crime is a measure of a settlement's lawlessness. A settlement with a low crime modifier is relatively safe, with violent crimes being rare or even unknown, while a settlement with a high crime modifier is likely to have a powerful thieves' guild and a significant problem with violence. The atmosphere generated by a settlement's crime level applies as a modifier on Sense Motive checks to avoid being bluffed and to Sleight of Hand checks made to pick pockets."

I don't quite get it...If you have a low modifier like -5, if you're subtracting 5 from a player's sense motive check, doesn't that HURT the player? How does that make sense?

A low Crime modifier would indicate that the population feels safe and doesn't suspect any wrongdoing, hence giving you a penalty on your Sense Motive check. A high Crime modifier would indicate that the population is highly suspicious and would get a bonus to their Sense Motive check. For a real world analog, compare a 1950s suburb (low Crime modifier) vs late 1970s or early 1980s New York City (high Crime modifier).

So the settlement modifier only applies to the citizens of the settlement then? If someone in a low crime city WAS attempting to lie to a player, I wouldn't suspect giving THEM a penalty just for trying to figure out if an NPC is lying to them.

As written, the settlement modifiers are meant to be applied to everybody in the settlement (including PCs), with the caveat of "introducing settlement modifiers to your game will somewhat increase the complexity of skill checks by adding a variable modifier each time the PCs visit a new town or city—consider the use of these modifiers an optional rule." As the GM, you get to make the final call on how you want to do it, but excluding non-native characters from these modifiers is certainly an option.