If you're unsuspecting, you are innocent and trusting. An unsuspecting tourist will be blissfully unaware that the smiling old lady on the subway has stolen his wallet.
If you lack a sense of suspicion or distrust, especially in the face of some kind of danger, you're unsuspecting. A criminal's unsuspecting victims find themselves utterly surprised that they've been robbed, and an unsuspecting hiker wanders right into a bear's den. In both cases, a little bit of suspicion would have served them well.