Mindset.
“Mindset”. Have no clue what you mean.
In my opinion, the answer by Real Saxophonist is probably the best one I have seen so far. Mindset is the most effective self-defense 'device' because, with it, anything becomes a weapon. Many people are saying knives, but if you check the legality of knives (and more importantly, the possible legal ramifications of using one even in a self defense situation) they can actually be far more problematic than a gun. I have done martial arts since 3rd grade, and by my first year of university I had progressed from martial arts to reality-based self defense systems. My first martial art was Shotokan (where I achieved ni-dan - 2nd degree black belt), and then I moved to more realistic stuff like Krav Maga and Arnis (I still do one traditional system - Xingyi - but everything else is reality-based self defense). I have thus had some good knife training (primarily based on the Arnis systems, aka Eskrima, which has some very good filipino knife systems that are kissing cousins of Kali knife work). One of the important things taught is what a knife can do (in the proper hands, and within close range, a knife can do more damage to you than any bullet from a handgun), as well as the legal ramifications. A jury can easily buy into you saying you had to shoot the perp to save your life. It is much harder if the jury is told you are a 'knife experty,' and is shown how you 'defanged' the perp by slitting the muscles in his wrist and forearms, moved in for a strike to his clavicle, sliced upwards into his carotid, and as he collapsed down you stepped to the side and hit a major blood vessel in his thigh. In real cases knife users (especially once the pictures of the perp are shown - and compared to guns a knife is far likelier to leave the person dead. I don't have the statistics at the tip of my tongue, but I remember that the difference being huge) - anyways, in real life legal cases a knife user usually gets it much rougher than a gun user. Some juries seem to think that by carrying a knife you were looking for trouble (which is silly thinking considering they don't apply the same metric to someone carrying a gun).
As for pepper sprays and the other stuff people are recommending - e.g. mace - those will work for most people. However, chances are that the person attacking you may be on drugs, may be in a highly aggressive state (making him more tolerant to pain/irritants) - in essence a pain-resistant attacker. There is an interesting book called 'Fighting the Pain Resistant Attacker' (or something like that - its on Amazon) written by a former police officer who teaches reality-based self defense training where he states how a perp that is sufficiently pumped up on adrenalin is not fazed at all by things like pepper spray. For that matter, even a bullet may not stop - immediately - someone who is sufficiently pumped up. A small caliber bullet with improper shot placement can still leave someone very able to kill you (and even with a fatal shot the person still has some seconds, maybe 10, where he can still kill you - I believe it is called the dead man's ten or something like that. Interestingly, knives in the proper hands do not have that problem. Get tagged by a trained knife user and it is lights off).
As for stun guns/tasers - they do work, however they need the proper mindset. Many people just own stuff - never train, never practice, and even when they do they never do so under pressure. There is a guy in Zambia who got car jacked, and the thieves eventually pulled over and threw him out of the car. The man was carrying a concealed weapon, drew his gun at the thieves and pulled the trigger. Click! He had forgotten to engage the safety. That split second allowed the robbers to draw their guns on him and kill him. The man was a good shot, he practiced a lot and knew how to handle his weapon. He had just never done so under a stressful situation, and when under stress people do stupid things. It is why, for example, in reality-based self defense (e.g. Krav Maga) many of the movements are VERY simple, easy to do and 'large' movements due to the fact that during stressful situations it is difficult to do highly intricate movements. Under stress, or when one is going through an adrenalin dump, people forget things. Like taking the safety off. People have died due to stuff like that. Which is why one has two alternatives - either learn or buy something that is simple to use even under a stressful situation, or else practice like crazy under all sorts of high-pressure situations. For instance Krav Maga - good teachers will have you fight an opponent in a darkened room, where you get 'attacked' from behind, thrown down and you have to fend for yourself (obviously you are wearing a padded suit since the blows are real). Or for instance knife attack training - it is shown that in most knife attacks most victims (who survive since many don't) do not even see the knife. It is only in the movies where a guy will take out a knife and wave it in front of you. In real life that doesn't happen (unless someone is only trying to scare you). What happens is a person walks up to you, and the time you know you are in a knife 'fight' (there are no such things as knife fights, simply knife attacks) is when you feel some pain and look down to see blood after the guy has stabbed you 7 to 8 times in the abdomen. Thus, the training has to be as realistic as possible.
What is the thread that ties all of this together?
Simple - mindset. You have to be a mindset that instantly goes in the 'on' position when needed. You need to be prepared to do anything you need to do to survive. If it means bursting someone's eyeballs with your thumbs, biting someone in the neck, tearing off an ear (at certain angles it is quite easy to do that), shooting someone, stabbing someone in the throat, etc. You have to have a mindset that is situationally aware, since many people never even recognize they are in a dangerous situation. Having situational awareness will save you better than any gun or knife. A mindset that will not make you panic or fumble or forget about safeties. Many people do not have that mindset, and the only reason they survive an attack is because the other guy was a fool. If I came to rob the typical homeowner I guarantee I would probably be able to kill most of them, even if they had their gun on them, since I would not be mucking up things. Most people simply do not have the mindset. They train, but they do not train realistically. (By the way there are some very good reality-based gun courses in the US that are far better than simply going to the range and shooting at a paper target).
However, with the proper mindset, even a simple plastic credit card is a weapon. A pencil to the eye. A phone in your fist to his throat. Anything is a weapon if one has the proper mindset. However, without the mindset that gives you capability to have situational awareness, the capability to act, and the capability to do so without fumbling in panic - without those aspects even a gun may not be enough (and it would depend on the other guy making a mistake). Fortunately most robbers/perps tend to make mistakes, but not all of them.
There is a lady who bit off the attackers scrotum, before choking him out. One of my friends was attacked by two thugs in Nairobi and ended up killing one of them by digging his fingers into the man's throat (note: into the flesh). Mentality and mindset. Otherwise a person can have a fully functioning weapon and forget to release the safety.