I carry a Ruger LCP. If commuting, I can put it in my pocket or in a quick access pocket on my cycling backpack. If I'm exercising on the weekend, I have a small bag that sits on my top tube just behind the head tube. The LCP fits in there with room to spare. Every few years or so, some idiot gets the bright idea to rob cyclists on the county trail. I've ridden home numerous times at night. I never plan to use my weapon and I would flee before using it, but if I can't flee, my attacker is getting shot.

On a related note, I find the best protection is a high-lumen helmet-mounted headlight. If I'm riding at night I can easily light up shadowy corners and bushes with a turn of my head. Bonus, I've avoided some major crashes by having good lighting and avoiding road hazards and f*!#ing rabbits running in front of me.