I have a little pepper spray canister which is attached to my key chain...'hello Kitty' style.;)
I have a foam baseball batt which I keep for my own anger management catharsis, next to the bed...and it might not severely injure someone, but it would definitely shock them if I hit hard, which might give me a spare second or two to move or get away or hit them hard in the balls.
I used to keep a steel bar under my pillow. It was given to me by a PTSD sufferer one day when I was doing a door to door to raise money for a charity. He was an ex veteran...and he insisted that I take it home with me.
I've never carried knives or guns or any of that. I have trained in a martial art though, and have attained two belts in a relatively short period of time. I have VERY fast reflexes and I'm not afraid to get violent if I really need to.
The only thing that really used to scare me would be thinking about someone breaking into my room while I was asleep and me not waking up before they were on top of me...and then not being able to move...and with the pepper spray...if it's in the dark, I'd be concerned about spraying myself in the eye. There is a little groove which tells you which way it is at, but in the heat of the moment, and when adrenaline is pumping, would I stop to think about that or just react??
All these uncertainties. I don't really worry about it much anymore. I live with 3 guys and I don't think any of them would ever try anything on me. I still made sure i locked the bedroom door though at night. Now though, my "room" has no real walls that go all the way up and I have a sarong as a door.