You should try at least the second game of the series if you're ever curious, SH2 - it's an amazing game. And heh, the shotgun's in like.. every game.. and apart from a couple other more obscure firearms, it's exactly that. Not to mention it's stopping power is something to be reckoned with, bwahah.
I mean seriously! Think about it, if you were about to jump someone and you were thinkin' 'Oh hey, this will be easy.' And then suddenly *REEEEENNNANNNANNNANNNANNAAAHHNN!!!1!ONE* 'EEEEHHHEEEEHHEEEEEHEEE!' (because I would have a crazy laugh when I start up a chainsaw in a dark ally) I am pretty sure that the first thing that goes through your mind is 'Someone just crapped in my pants! Oh wait, that was me.'
So yeah, I'd go for the 'let's scare the crap out of our enemies before they have the chance to even touch me and see how weak I really am' choice.
Flamethrower or tazers would be second choice for me, but those weren't options.
I picked handgun, although I do carry a small knife around with me when I have classes that go after dark. Provided I actually know how to use said gun, I would prefer that. You can surprise your attacker if the gun is concealed, and most people would stop their charge after getting shot once. I'd want either a colt .45 or a snub-nose revolver.(what? those are the guns nesrin has? what a coincidence! XD)
What I REALLY want is a trench spike. It's a long, sharp metal pike attached to some brass knuckles. I think they're from WWII, and they were designed so a soldier could run up to a trench and stab it downward, piercing both helmet AND skull. They are just badass, and one is for sale in the antiques shop I know. I've been debating whether or not to buy it, just 'cause it's so damn cool!
Lead pipe. It's simple to use, easy to carry (comparatively), and does plenty of damage. A good blow to the head with a lead pipe will slow down anything.
Ammunition is very difficult to find, and while you can still fling an empty shotgun around, it's not as effective.
Knives and swords look awfully nice, and are simple for self-defence against other humans, but their main strength is in the pain and blood-loss they cause. The monsters that you may encounter might not feel pain or bleed much, and you probably won't know their anatomy well enough to choose the ideal place to stab or slice. They also share a problem with the axe and maul - they can get stuck.
Chainsaws are dangerous and difficult to use (despite being badass), and they don't have the type of control I would want when trying to beat off a groaner.
Explosives are useful, as long as I know how to use them properly and I can carry them relatively safely.
Running away is my ideal option, however. Unfortunately, that often doesn't work out too well.
If we're talking in video game logic, though, the light-saber's pretty awesome.