Most of the time, common sense prevails if there is a justified use of force for self-defense. Common sense should also be used when examining force options.
Here in Kalifornia, ironically, carrying batons, sticks, martial arts weapons, disguised knives, brass knuckles, etc, is a FELONY, whereas carrying a concealed handgun is usually treated as a MISDEMEANOR (it's a "wobbler" that can be charged as a felony, depending on circumstances).
So, you might as well carry a gun rather than that street gang crap if you're headed into harm's way...just don't get caught.
That's bad advice, though. The smart thing is to obey the law, because even if you end up defending yourself legitimately, you're on a slippery slope legally if you end up using a weapon that's not legal for you to own and/or carry.
I think for most people, the odds of getting into a legitimate self-defense situation are far outweighed by the chance of getting into trouble for possessing an illegal weapon.
Remember that a felony conviction will probably bar you from eventually being able to CCW legally (and, indeed, gun ownership).
Legal options include stun guns and pepper spray (if allowed in your jurisdiction): Hey, better than nothing, maybe. A small folding knife with a very sharp serrated edge (don't use it for anything else) would probably be an option.
Something small and hard you can hold in your hand (no, not THAT...). I mean, a kubotan or something. An umbrella, carried if it's raining, in the car or locker if it's not, would not be questioned. A cane, well, that's a stretch unless you're disabled somehow.
Remember, context is important. A baseball bat or golf club might be perfectly legal to own, but carried in an alley at 3am, be considered a felony offense.
Martial arts training is a great confidence builder, that, along with situational awareness, should get the average person through nearly all scenarios (along with a good pair of running shoes).
Certainly, improvised weapons are potentially useful. If you have some stick fighting, well, anything can be a stick (pool cue, bottle, rolled up magazine, uh, stick...).