I carry a Fox 40 on my keyring, but I've never used it. I'm scared to, frankly; I reckon it's loud. I carry it mainly for emergencies, such as getting stuck in a lift (err, elevator in American?). It gets on my keyring when other gear doesn't because it is smallish and light.

I think it is probably one of the most universally useful tools. Being able to start a fire is important mainly in wilderness settings. Water purification likewise. A knife is always useful, but in the wilderness you need a big one for splitting logs etc where-as in an urban setting you just need a small one for opening packages, and something with screwdrivers and scissors is better. A flashlight is important in an urban setting where you are probably indoors and dependant on electric lighting. In the wild, you probably have star and moon light; it's rarely pitch black outside. A mirror is no good at night.

A whistle is good in any situation you can hope to be rescued from. It's unlikely to break, it won't get flat batteries or be zapped by an EMP, and it won't wear out.