Pepper spray can be useful, but there's a lot of good options that you should have regardless. Lots of tools can actually be very useful for self-defense. A box cutter is very good at slashing arteries and making deep cuts, but you wouldn't want to stab with one. If you do decide to take a knife and ever have to stab somebody, a good tip is twisting the knife as you take it out. This causes a lot more damage than a regular stab wound. A small, but powerful electric torch is both very useful on its own, and capable of blinding people in daylight. Even a sturdy screwdriver or big hammer can be effective. A steel umbrella with a pointed tip is also great. After you use pepper spray, what are you going to do?
I forgot to mention this in the first post, but you might want to bring a windproof lighter.
I talked to a Russian I know about this and they said if you ever wanted to do something like this over there, you would need to know the language fluently and be very cautious becuase there might be guys around every corner waiting to kill some tourist and take their stuff.