Don't carry any weapons for self defence. A punch to a tender area is usually more effective and always less dangerous. Carry warm clothing in case you get stuck, and some food and water.
Food is almost as important as clothing for keeping warm.
People who feel the cold tend to be those who do not eat much. It can get cold at night even in summer and in deserts. If you are very cold then don't smoke as the effect is the same. Carry enough money to make a few telephone calls. It's is best to have enough money to get yourself some food as well.