Personnel required to carry these devices have to go through training. If you want to carry one of these, seek out the same information (usually available through LE resources and manufacturer's manuals) as well as the laws in your area. It's also a great idea (unless you are old or infirm) to be exposed to their effects yourself. except for the gun of course. I know NOPD officers have to be tased and sprayed to carry tasers and OC spray.
OC will definitely give you an advantage, but does not affect certain people. It will also make them very angry. What OC spray can be generally counted on to do is blind your assailant, provided your aim is good. Always aim for the eyes. They SHOULD be blinded somewhat instantly and suffer for a while afterwards depending on the %. If you can spray someone in the eyes and run they will rarely attempt to chase you, but can still fight back if you attempt to overpower them.
Tasers are fantastic, but maybe not so effective in cold weather because of the heavier clothing people wear in the cold. As far as specific advantages/disadvantages it depends on the model you buy.
I'd be happy to answer specific questions, but the general word of advice is to learn about the devices and to not place all your faith in them. You could OC spray someone much larger than you, have him wipe it out of his eyes and overpower you. It's said that schizophrenics and those with fair skin tend to experience more adverse affects. Many bi-polar individuals experience effects much less intensely than the average person. Tasers are great, but have a plan for if there is a clothing disconnect and the subject does not experience NMI, especially if he is more vicious than you are.
In short, carry them with knowledge and have a plan for if they don't work.