Firearms Instructor here (Utah BCI and NRA).
First, get a Concealed Firearm Permit from whatever jurisdiction you live in.
Most states require a class in which state and local laws covering firearms, self defense, and other relevant legal topics are covered. You need to know and understand the laws you live under at home.
Many permits offer RECIPROCITY (a formal agreement) and RECOGNITION (an informal yet valid agreement) to honor permits from other states. As an example, Utah has reciprocity with 17 states, and recognition with another 19 states for a total of 37 states (Utah and 36 others).
When traveling and carrying under reciprocity and recognition, you are subject to the state and local laws of those jurisdictions. There are several good apps for smart phones that keep up-to-date on changes. I personally like LegalHeat. It's very well done, shows reciprocity and recognition, and has links to state laws. You need to know and understand the law where you are.
I personally recommend avoiding states that don't offer either reciprocity or recognition with your permit. I avoid them unless it is impossible. Things are rarely impossible.
In some cases, you can get an out-of-state permit from that state. Not all states offer out-of-state permits. Some states that have reciprocity or recognition will only recognize a permit held by a resident of the state.
For example, Florida has Reciprocity with Utah, but only if the Utah permit is held by a Utah resident. If you are from California carrying on a Utah permit, it won't be valid in Florida.
Knowing the law is the key. In Utah, for example, if someone is breaking into your RV while you are sleeping in it, you are assumed to have had a legitimate fear of death or serious bodily injury for both civil and criminal purposes. In other words, the state or local jurisdiction won't prosecute you, and the estate of the intruder can't sue you. They entry does not even have to be completed, merely attempted. There was a case of this in a residential home a couple of years back. They didn't get in but were trying, homeowner shot through the door, and intruder died in his yard. Case closed.
Prevention and Situational Awareness and Mindset are important factors. In my office have a plaque I obtained when I was still a teenager. It says "A SUPERIOR SAILOR is one who uses his SUPERIOR JUDGMENT to avoid situations requiring the use of his SUPERIOR SKILLS". I look at my firearm as that superior skill. It's better not to be there if at all possible. The permit and firearm are there for when you have done all you can to avoid trouble and it still seeks you out.
As for the "insurance" programs, you are pre-paying for a lawyer. Is it a good deal? It depends on where you live and where you are if you ever have a defensive encounter. Again - Prevention, Situational Awareness, and Mindset will go a long way to avoiding the need to use that superior skill.