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FWIW, I carry a Kel-Tec P3AT often while running by myself. I keep it in a little zip-up bag and hold it in my hand. It is not particularly sneaky, but I really don't care whether someone makes me.
There are other options. For instance, I can carry the pistol in a clip-on IWB holster...the draw-string on my running shorts is more than adequate to support it due to it's extremely small size. However, the rubbing of the pistol bouncing up and down chafes.
As for what to carry: It is largely personal preference. But I suggest you at least consider this line of pistols: Kel-Tec makes the P3AT which is a very inexpensive, small, lightweight pistol which is chambered for .380 giving it a reasonable amount of ass should you need to use it. The better (and more expensive) option is a Ruger LCP, which is basically the Kel-Tec design supped up a little bit and made a bit slicker/more reliable.
Any pistol can handle the water. When you get home just rinse it off with tap-water to get rid of any dirt, pat it dry, and spray a little CLP on it. Nothing else is necessary.
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"Socialism is a philosophy of failure, the creed of ignorance, and the gospel of envy, its inherent virtue is the equal sharing of misery." - Winston Churchill
"All men dream: but not equally. Those who dream by night in the dusty recesses of their minds wake in the day to find that it was vanity: but the dreamers of the day are dangerous men, for they may act out their dream with open eyes, to make it possible." Seven Pillars of Wisdom, T.E. Lawrence
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