A lot of folks are going to suggest martial arts training, and they're right. The ability to perform breakfalls and rolls, learned in the early portion of most martial arts, will be invaluable as a safety tool independent of self-defense situations and will serve you the rest of your life. Beyond that, your hands and feet generally accompany you everywhere (unless something has gone terribly wrong), so some sort of hand-to-hand skill is the way to go.
Unfortunately, to be an effective hand-to-hand combatant, you generally need a lot of skill and (in some cases) daunting physical conditioning. For many of us, who are older, or disinclined to rolling around on the ground if we can help it, or who spend too much time and money shooting to pick up yet another hobby, self-defense courses are impractical. I do encourage you to go at least until you learn and practice basic blocks and breakfalls.
Now, on to tools, which is the most popular topic of discussion when people ask this question:
I'm certainly no expert on the topic, but I choose OC spray.
It doesn't have some of the shotcomings of a taser, it disables the attacker's ability to see (and possibly breathe well) for some time after it's applied, and it provides an opportunity to escape.
It has its limitations. Wind can blow it away from your attacker or (worse) toward you. If your assailant is wearing glasses or goggles, it may not impede his ability to attack you much at all.
And it's important to understand the effect of OC: It causes intense burning pain around the mucosa (eyes, nose, mouth area, and any other tender tissues) and reflexively shuts the eyes (in many cases). Your attacker can't see you, but he can certainly hear you, and now he's mad.
It's important after spraying someone to quickly get away in 2 or 3 dimensional space. It's a blinding tool and not much more than that.