My boss was executed in Burundi by rebels. They'd ambushed a convoy and took a couple of UN heads of mission and a few others. A couple were killed but the CP bloke of the one HoM pulled a short on the bloke doing the executing, drilled him and his oppo and got his primary and the rest of the survivors out of there, running to a local sugar mill.
I got called off the day's sched to go fetch body bags and pick them all up with an armed security team.
Whether to be armed or not is a dilemma. When we travel as a team our security advisers are officially listed as 'producers' so they will rarely be overtly armed. As a news or documentary crew there's a line you don't want to cross in a combat zone. That said, we do hire armed locals in certain circumstances and occasionally the group we are filming with will supply an escort: Although flying along in the back of a bakkie with 2 kids waving AKs in condition 0 is a little nerve wracking.
The only time I have carried any form of weapon at work was in Namibia. We were bivvying for a few days so the Anti Poaching Unit section I was with lent me an R1 to 'scare lions'!