It does depend on what you usually wear, your mentality, and your local laws.
A self defense item is only as good as its ability to be availible during great duress. Imagine having to fish out a pepper spray while having your hair pulled and punched in the face. Most people think that they will take the spray out at the first sign of trouble, but the thing is if you can detect trouble you should change direction or head towards the exit not arming yourself. If you are in need of self defense it's likely because you were caught unaware. Usually items on your body around the waist line will be quick to access, but your ability to store something around that area will depend on your clothes. Tight clothing will more likely limit your carry of the items and you may need something very small, where as baggy clothing allows you to carry something bigger.
The goal of self defense isn't to hurt the attacker, but to stop them. But unfortuately the best way to stop an attacker is to deal tremendous amount of damage that the attacker is physically unable to continue to pose a threat. (That or you completely restrain them so that they are unable to move, but this will require high level of training and atheletism.) This means that the likely tools that can best assist in saving your life that will not hinder your everyday life is a pistol or a knife. Both of those items require that the local law allows for those items to be carried, and that you have mindset to put your life before that of the attacker.
If neither are the case then you'll likely want a non-lethal item to defend you, with the understanding that these items may not be as effective as a pistol or a knife. For non-lethal item I think the pepper spray is the best option. It allows you to focus on creating distance(if they can't reach(reach of their influence, not hands) you then they can't hurt you) and doing a damage that will stop the attacker. Please note that the pepper spray does take a full second or two for the effects to kick in, and if you are grabbed during that time you will still have to fight that person to escape(though you'll be fighting semi-blind and asthmatic person). Note that there are different types of pepper spray with the main two variations being spray type and stream type. Spray comes out like a hair spray, while stream comes out like a water gun stream. Spray covers more area but doesn't go far, and the other requires aiming but can hit about 13* feet away(*distance depends heavily on brand and size of the can).
I don't like tasers because I have seen multiple accounts of them failing to stop the threat, and it's also very season dependant(taser doesn't like heavy jackets). Other defensive items either doesn't do enough damage to stop a person fast, requires quite a bit of training to be effective, or likely illegal(brass knuckles for example is illegal in many states and nations).
Best thing is to train. If you found a self defense item that works for you, that's great, but it would be also great to train with that item. If none of the item seems to work for you then training empty hand would also be great. Best of luck.