You should find a martial art that teaches the use of a stick. It's easy to have one with you (like for walking), and carry a knife too. These 2 weapons and a good martial art should be fine. Also, don't choose martial arts like aikido or judo as they don't teach you how to give a punch/kick, and you can't counterattack properly.
And if you live in the US, for god's sake, carry a damn weapon. I don't approve the law, but if i lived there i'd take advantage of it. Maybe a weapon easy do dismantle, to hide it like a bunch of metal pieces.