I recently bought a Glock 27 as an alternative to the S&W M&P .40 compact I have been carrying. It is actually a bit lighter. Slightly longer but smaller over all. It fits nicely in a pancake holster on my belt. Easily concealed.
And yes I always carry a gun on myself. Either on my belt, or in winter I much prefer to wear a larger weapon with an under arm holster. Usually nothing bigger then a full size gun, the compacts and sub compacts are nice, but they get really inaccurate really quick due to the ridiculously short barrels they have.
My favorite gun will probably have to be my first. I always have been partial to shotguns anyway. My first gun was a Mossburg 500, I have three barrels for it, and the pistol grip for it. No other gun I own has been fired by me as many times as that one.
Then again I am a gun nut, even made the club for it - Hint, hint, plug [http://www.escapistmagazine.com/groups/chat/Gun-Nuts].