If it gives you piece of mind to have a baseball bat under your bed, then go for it, but go for a nice, solid Louisville Slugger instead of metal (they're cheaper, too). Better yet, how about just keeping your phone by your bed so you can call the cops?
Guns freak me out because I know that I'll end up as one of those statistics where I shoot myself thinking the gun was empty; I went to a shooting range once and I was never more uncomfortable in my life. Besides, nobody has ever accidentially bashed their own brains in while cleaning a baseball bat.
I'm sure it can be done. After all I hit myself in the face with a hammer a few minutes ago.
Then you must not have been listening to the album "Please Hammer, don't hurt 'em" at the time.