I carry both, bear spray for the four legged beasties and a compact handgun if things go bad. Since I keep my firearms concealed (open carry tends to weird out some people), its by far faster and more efficient to use bear spray. Also saves a lot of hassle from having to kill something and go back and report it. Its rare you will ever have to resort to using bear spray, and much less shoot something. But its better to be safe than sorry. I like Counter Assault as well, good stuff. Most people worry about animal attacks but lighting, weather, getting lost or being stupid by far cause more problems. I go outdoors to enjoy myself, I don't worry too much once up there.
I use to carry bigger hand guns, now I just carry a .22 in the Uinta's, weighs less and still very lethal if you know where to place your shots. Not to mention, if things go bad will kill small game. Yellowstone I would carry something bigger, but I would go well out of my way not to shoot anything there.