Apparently there is a threat mail sent to the Japanese Embassy on about how Delhi is going to be the next target for the bombs after Bangalore and Ahmedabad according to the story here
I dont believe in these sort of things usually. When someone bothers to threaten, rarely is it ever carried out. Who has to do does. When the Met department says its going to rain, it rarely ever does.
Having said that, please be safe....if you are in Delhi or any place in India for that matter, do be safe and vigillant.