If you are running any distance, i.e. greater than 5 miles at a time, carrying is going to be VERY difficult. This is the only situation where I would possibly want an NAA .22 magnum......maybe.
Here's the problem. If you are training to run half-marathons to full marathons, just about ANYTHING you have on your body that causes the slightest bit of friction will eventually cause excruciating pain and bleeding.
Example - I was running a 30K (18 miles) and somewhere around mile 13 I passed a guy who was wearing a white mesh shirt - it was acting as a cheese grater and caused his nipples to bleed.
Example - I had a small pack of Goo (energy supplement) pinned to the inside of my running shorts - a small corner eventually abraded me to the point where I started to bleed.
Some folks have real problems with just their skin rubbing, like armpits, inner thighs, even a pair of new shoes can end up being pure torture if they aren't broken in properly before a long run.
On a short run - less than 5 miles, I could see carrying a little NAA revolver if necessary. I'd probably sew a little pouch made of lycra into my running shorts - probably on the exterior to avoid rubbing. On a long run.....I really think twice about carrying a gun, knife, etc. - maybe if I really really really had to because of the area. Its hard enough for me to carry a couple packages of Goo to suck down for nurishment - and believe me, that's taking precident over a gun.