The most important thing in starting a self defense strategy is to determine YOUR most significant risks. Your life style, where you live, and what level of awaeness you're willing to commit to are the determining factors in what level of tactics and training you need to develop. If your not on a swat team you don't usually need to learn swat team tactics. If you aren't going to compete in tkd, vale tudo, or no holds barred competitions you don't need those individualized skills.
Situational awareness skills are the building block to all levels of self defence. If you are unaware of an impending attack even the best trained Rambos will lose to a dedicated assault. No weapon can protect you from a baseball bat from behind.
Assess your situational risk and begin to build specific responses which take into account your physical and psychological abilities. You must be dedicated and willing to use the tecniques in which you train.
knives are excellent close quarters defensive tools against unarmed physical assaults - even for minimally trained individuals. Learn to present the knife quickly and quietly, blade front and back, with both hands, from any position. Learn less lethal and lethal target areas and practice cutting with both hands from various positions. Mentally prepare yourself for blood, mess, and screaming. All of this can be done on your own (use common sense)in a very short period of time.
Require a much higher dedication to training. Learn and apply a sound use of force continuum. Learn all facets of gunhandling - gun concealment, use of cover, presentation, firing accurately, retention, and aftermath survival. This training can be long and frustrating if you attempt it yourself, it can be expensive if you pay good instructors.
Less lethal options (O.C. spray, batons, ect):
Most of the available options require item specific training to be used efectively. They are then effective in limited situations. My personal results of using less than lethal devices has been very hit and miss. I like to have the options but I never count on them working.
Hard and soft empty hands techniques:
There are some very effective, easily learned, and easily applied techniques available. A good weekend seminar from a reputable trainer can provide most people with a sound basis in this type of defense. The downside to these techniques is that you must be in contact with the advesary - and that allows Mr. Murphy to get more involved.
I have found that the more I train the more I want to train. It becomes addictive. You learn just how vulnerable you are.
My last comment is that luck can play the greatest role in any self defense scenario. Just read the self defence column in the NRA rags. Train for the worst and hope for luck.