Sometimes dogpiling on a topic is not such a bad idea, especially if one's blog is getting search-engine hits for the topic.
People new to the idea of carrying a firearm for self-defense deserve good information. I'll put my 2.46x10^-5* of an oz Au in, but first, Matt G has plenty to say, all of it good, and links to even more.
I carry whenever I can. It's a big responsibility and one I did not take on lightly. Though requirements for what my State calls a "Permit To Carry Handgun" are not onerous (no precluding factors, around $25 in money orders, and a trip to police HQ to get printed and do the paperwork), I had already taken taken a basic handgun class and shot a few thousand rounds before applying for it. I'd also thought long and hard about hangin' a thunderbolt on my hip.
I've been stalked. I've been held up at gunpoint twice; the second time, the miscreant fired a shot, miffed that I ran away and threw my bag of groceries at him when he caught up. (He missed. I wet myself anyway). While I dislike sending anyone to an early exit, I'm certainly not going to take one myself for their sake; I happen to like keeping my paycheck and credit cards in my own possession and I take a dim view of being attacked by deranged men, no matter how pure their lust. I will stop 'em. I'll weep for their Mothers later. I won't weep for them; they chose their own path.
If you're thinking about carrying, think it through. If you can't use that shiny object when you must, it's worse than useless.
If you're carrying, practice! If you can't use your sidearm well, it's nearly useless and may even endanger the innocent.
What should you carry, how should you carry it? Depends. The laws of your State or city may restrict what you may carry and how you may carry it -- find out. (Don't make assumptions -- the rules in wild'n'wooly Texas require one to carry concealed without fail, while long-civilized Virginia allows open carry without any sort of permit!) Something too large, too heavy, too awkward: don't fool yourself; if it's a real bother, you'll stop bothering with it. Many gun ranges offer rentals -- ask for suggestions about carry guns, rent them, take them to the firing line and find out. Investigate holsters and other systems designed for concealed carry; the shoulder holster of Hollywood fame is one of the least easy.
The short version is, "learn, learn, learn." Not just with your eyes and your mind, find out with your hands. Train your reflexes, so you never touch the trigger unless you're ready to fire, so you never point until you are sure of your target, so the most automatic actions you make with a firearm are safe ones. As you train, so you will react. You'll shoot plenty, you'll learn that practicing at the shooting range; it's fun to line up on a bullseye and make a hole right where you wanted it and it's more difficult than TV shows make it appear. Make sure you also learn how to handle your weapon in the time between drawing and firing. Make sure you learn how to handle it when you're not on the firing line.
When trouble comes -- and it comes but rarely; it may never come your way -- you will be your own (and civilization's, but you won't notice at the time) first line of defense. Running away and screaming rarely stops malefactors and calling 9-1-1 ( If you have the chance: "Hold it right there, Mr. Armed Robber! I must place a telephone call!") won't stop a bad guy right now. If you are armed and trained, you will have the best chance to make a difference.
It beats running away and throwing a bag of groceries at them. Alas, it won't make you any braver. ...That's actually a good thing; if an awareness of the responsibility that comes with carrying a sidearm makes you think twice about dangerous places and iffy situations, that's all the better for you.
(Plain facts: I carry small semi-automatics, aluminum-framed, in .380, 9mm or .45 ACP. All of them are very similar, so I don't have to remember different actions for each gun. They suit me. I don't know if they'll suit you. I bought them all used; this can be quite a savings but please have the gun checked out by a reputable gunsmith if you're buying a used one! Like cars, there are some lemons out there).
* Sign corrected per Dr. Strangegun. Though I set uncommonly high value on my own opinions, there's a limit to even my self-appreciation!
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