I carry pepper spray clipped to my shorts (I have a C.C.W.). My DH offers firearms training and self-defence, so he constantly- and rightly- nags me to look after myself. This reminds me, PLEASE check with your local state laws about carrying spray... While I doubt very much that if you need to use it that a cop would make trouble for you, pepper sprays/mace/knives et c. are usually treated as weapons (and rightly so), so make sure you have any applicable licenses.

We need to exercise the same caution on our bikes that we use when we are out and about doing our everyday things.