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.