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We study the covariance properties of real space correlation functionestimators -- primarily galaxy-shear correlations, or galaxy-galaxy lensing --using SDSS data for both shear catalogs and lenses (specifically the BOSS LOWZsample). Using mock catalogs of lenses and sources, we disentangle the variouscontributions to the covariance matrix and compare them with a simpleanalytical model. We show that not subtracting the lensing measurement aroundrandom points from the measurement around the lens sample is equivalent toperforming the measurement using the lens density field instead of the lensover-density field. While the measurement using the lens density field isunbiased (in the absence of systematics), its error is significantly larger dueto an additional term in the covariance. Therefore, this subtraction should beperformed regardless of its beneficial effects on systematics. Comparing theerror estimates from data and mocks for estimators that involve theover-density, we find that the errors are dominated by the shape noise and lensclustering, that empirically estimated covariances (jackknife and standarddeviation across mocks) are consistent with theoretical estimates, and thatboth the connected parts of the 4-point function and the super-samplecovariance can be neglected for the current levels of noise. While thetrade-off between different terms in the covariance depends on the surveyconfiguration (area, source number density), the diagnostics that we use inthis work should be useful for future works to test theirempirically-determined covariances.

Galaxy-galaxy lensing estimators and their covariance properties