I don't carry weapons, never have done and unless I join the armed forces or the police (even then it would have to be the armed division), I doubt I ever will. I don't live in a very dangerous area, and I've always been firmly of the belief that outside the military the only people who should be carrying weapons are the police, and even then only when fully trained in their use and when used sensibly and in the right scenario or context. Believe it or not, but I trust the UK police, and the way this country is going I feel it's getting to the point where either we bring back corporal and capital punishment, and harsher sentencing, or the police have weapons as standard. Or even both combined.
If I did carry a weapon, though, it would have to be a gun. At the end of the day I don't like getting into physical altercations, though I can hold my own in a fight purely because as well as being fast rather than strong, I know that fights have absolutely no rules. I don't give a flying fuck about honour in a fight, the aim is just to hurt the opponent as much as possible, unless it's a sport (where I'd follow the rules) - hell, I'd even bite someone if I was fighting them if it would help me win. But I digress. I don't enjoy getting into fights, so I'd much rather carry a ranged weapon, something that lets me win without the need to get up close and personal. Ergo, a gun.
EDIT: To be fair, I also know how to use a gun, whereas I don't know how to effectively wield other weapons. Unlike with knives, I've actually been trained on using several rifles including air rifles and the L-98, and I fired pistols on shooting ranges too. Which is fairly odd given I'm from the gun-phobic UK, and most of my gun training came from after-school activities supported by my old high school/sixth form. Anyhow, I know how to use a gun better than anything else, particularly how difficult they can be to use effectively...