I'm of the opinion that most responsible, (otherwise) law abiding folks are way less likely to get caught with a gun (much less pepper spray) than they are likely to actually need one to use in self defense.
And by self-defense I would include simply drawing a gun to discourage a stated threat by a potential attacker. It's happened to me twice at ATMs. No police were involved because the would-be robbers backed down when I resisted. (I was legally CCW at the time)
Fortunately, they were bluffing with their hands in sight so i didn't need to shoot. End of story, everyone went home that night.
Although both needing to use a gun for defense, and getting caught with one are both very unlikely events for most of us, I think the scales tip toward heavily toward the likelihood of actually needing one at some point.
That said, I would ask, how much should one care about the consequences of violating an unconstitutional carry law if illegally carrying that gun (or pepper spray) saved your life?
(by the way, never attempt to intimidate someone with pepper spray, it only works if actually used, even better if there's an element of surprise)