From http://www.ncjrs.gov/txtfiles/fireviol.txt

In robberies and assaults, victims are far more likely to die when the perpetrator is armed with a gun than when he or she has another weapon or is unarmed.

Injury rates were higher for robbers with knives, but people are probably less likely to fight back or otherwise provoke a robber with a gun.

You are much more likely to be injured against a knife than you are against a gun. I am moderately confident that I can take a handgun away from someone before they shoot me, given sufficiently close conditions; I am much less confident in my ability to deal with a knife.

That makes the knife scenario an even better dilemma than the gun scenario!

The reason I'm more likely to intervene against a knife is that it's easier to protect the woman from a knife than from a gun. Against a knife, all she needs is some time to start running, but if a gun is involved, I need to actually subdue the assailant, which I can't. After all, he is bigger and stronger than me, and even has a weapon that can do serious damage. If all he has is a knife, though, all I need to do is buy enough time; even if I end up dead, the woman will probably get away.