It's been fairly well reported that Soviet/Russian cosmonauts did carry firearms, but I can't find anything to confirm whether or not US astronauts did at any point in the past, or do currently. I've heard that some Apollo program astronauts have been asked the question and denied that they were issued any firearms, but the Militarization of Space article on Wikipedia mentions that "United States Astronauts are also provided a firearm for similar use." However, there is no citation with the statement.
Interesting question, but this makes me wonder: can someone comment on the practicality of actually using firearms inside a space capsule / space station / on a spacewalk? Basically, would a firearm actually work, and if so, what would be the risk of catastrophic collateral damage?