Stun Gun ? No. You have to (literally) be in arm's reach, and the traditional stun gun does little to deter an attacker.
Taser is a better choice, but more expensive and some training would be in order. Taser does give a standoff capability of 21 feet, and if the probes miss or get pulled out, it can be used close-in like a stun gun.
Pepper Spray is a good bet, but get a law enforcement grade product - not the stuff that Dollar General sells that contains black pepper and water. Defense sprays usually are more handy to carry, and concealable.
ASP baton or similar requires training and certification to be legal, and again you have to be very close range to deploy.
Whatever they carry, especially handgun, DON'T let them carry it in their purse !!!! 90%+ of women will never be able to reach their purseborne defensive weapon in time to prevent an attack.
And make sure they always have a cell phone on them.