Gaimmienne is no fool, so she keeps a daedric tanto (a short red-colored metal spike capable of lots of damage) hidden on her at all times. She also has a number of other tricks "up her sleeve". She has enchanted all of her clothing:
Shoes of Levitation
Skirt of God's Fire
Shirt of Healing
Cloak of Invisiblity
Her clothes are all enchanted with the "cast when used" variety of magicka (as opposed to the "cast when held" type) so that they do not get worn out from normal walking around town. (Enchanting items is expensive, and clothes do not have very much inherent magicka at all so you need to bind a number of souls to them to get any decent results. So you definitely do not want them wearing out and requiring replacement all of the time.)
Gaimmienne also carries a Saphire of Shopping, which she uses to get the best prices on soul gems and weapon repair, and lots of gold when selling all of the stuff she gets from her adventures.