When I go jogging around the neighborhood, I usually have a very light folder clipped to one pocket of my running shorts, with my house key in the opposite pocket. Nothing too fancy, but I'm also within half a mile of my home at any time. (There's a loop that goes around and behind my place).
Sometimes I'll also carry my GPS with me to pace myself, but that stays in my hand.
For extremely light weight and ease of carry, you might consider an HAK (Hideaway Knife). Lots of cutting and strength in a very small package. I don't have one myself, but have heard nothing but praise from a variety of people.
[url=http://www.hideawayknife.com/main.php]
http://www.hideawayknife.com/main.php[/url][/url]
There used to be a very reasonably priced production-version of the HAK, but I don't see it on the site anymore. <img src="/images/graemlins/frown.gif" alt="" />