I don't carry any weapons. I live in a pretty tame small town where it's really not necessary.
I used to carry a beautiful knife that I bought for myself years and years ago; I just kept it in my purse all the time. It came in handy a few times for non-defensive type things, like cutting something stubborn when I wasn't near a pair of scissors

But with all the rampant security since 9/11, I was in a big city and going into a building with a metal detector, and they asked if I had a knife when I set off the detector, and I honestly wasn't even thinking about it, but I took it out and handed it over. Then they said they had to confiscate it from me. I asked if I could just leave the building and take it with me, and they said no. I was so upset, I'd had that knife for so long, and it was really special to me. I didn't think it was right for them to refuse to return it to me, even when I offered to just walk away and not even go into the building. It was a small, decorative knife, and I don't look anything like a criminal, so it was just stupid to me.
Anyway. I'd keep a knife on me as a weapon of choice. I'd be too scared to have a gun, and pepper spray is to easy to fumble with, drop, spray the wrong direction, etc. A knife can be in your hand within seconds, is easily concealed, and silent.
At home, I love a nice, aluminum bat. I have a great swing, and I wouldn't hesitate to go for somebody's head

Having a dog with a good, loud bark is also a great home defense tool (and you get the awesome side benefit of HAVING A DOG

). Having solid locks on all doors and windows (and USING them faithfully) is a good step. Leave a light on in random rooms at night, so it looks as though someone might be at home and awake. Use bright front and back door porch lights, consider motion-detecting lights. Sleep with a phone within reach, so you can dial 911 if you hear anything out of the ordinary without having to get out of bed or move around and make noise. Have a "panic room" plan in place - somewhere you can quickly and quietly hide if you hear someone breaking in. Even tucking yourself into the bedroom closet or bathroom (make sure it locks from the inside!) can buy you valuable seconds and discourage and confuse someone who may be searching for you. Equip your cell phone with a LOUD alarm app and set it off if you hear an intruder, or you can buy personal rape alarms that do the same thing; ideally open a window so neighbors can hear it as well.