If I'm walking alone at night, I always stick my longest key (usually the car key) out between the knuckles of my fingers with the rest of the bunch in my fist. I learned that in a self defense class years ago and it's the only thing that stuck.

Even though I imagine I'd be hopeless in a tight spot, and although I've never felt really threatened, I find it reassuring when I'm walking in the dark to have something, even something so small to hold on to.