If I didn't ride alone, I'd almost never ride. I have one of those ankle pockets where you can store a cell phone and a flashlight and pepper spray and a few Cashel Company
Other things on your leg.
If you and your horse part ways, you want something attached to your body that can help you get home. The other thingI use is one of the Garmin forerunner wrist GPS units. Because if you have a cell phone in the middle of no where and actually have service but no GPS how can you tell the rescue squad your exact location? Of if you aren't injured, you just set it to trace back to your truck.
As for carrying a gun, it's not going to do you much good if your horse isn't used to you shooting in. I also train my horses for Cowboy mounted shooting so my horses are used to the noise but most horses aren't used to it. You could do more harm then good by shooting off a gun if you horse is nearby. The best thing is to leave the gun at home.