Obviously you need one of these:
But in all seriousness, it depends on your plan. I've harvested enough critters with both to know both are very effective.
I'd say if you're trying to close distance, and grappling, a knife is probably more effective. The problem with a knife is that it's
only effective at very close range.
If you're trying to stop the attacker's advance and then retreat, a gun would be better.
It would probably be easier to convince a cop/judge/jury that you were only intent on defending yourself if you used a gun. Right or wrong, people tend to associate knives with fighting rather than defending.