I always have it in my purse or bra when jogging. It is safer than a knife (which is also illegal) and if taken away from you and used aginst you not lethal. You can use it from some distance away so your attacker dosen't have a chance to get too close.
There are a few different kinds but you will want to make sure that you dont get a cheap one that can spray when you dont want it to, like in the bottom of a really nice purse. My dad ( the saftey freak) buys grizzly mace for me to carry. I think its a little overboard myself, but I think thats just because I've never had to use it.
Hope this helps, better safe than sorry!