A tragic example of such a situation may be found in the recent death of Greg Rodriguez (story here). While the reports that I have read do not indicate whether or not Mr. Rodriguez was armed at the time he was shot and killed, it seems likely that he could have been -- he was an outspoken advocate of Second Amendment rights, as was the friend he was with at the time of his death. While we cannot say what might have happened had the circumstances been slightly different, this story serves as a sad reminder that even when we might otherwise feel safe, we should always be ready.
In short, do not rely on a gun, or pepper spray, or a knife, or a security guard, or anything else to be safe -- rely on yourself. With the exception of a spouse or family, nothing else will be as concerned for your survival as you are.