Umbrella:
1. It looks cooler
2.It shows when you're walking
3.It has spinning action which when shot sends the bullet back to you.
4.It's more rare then the Stun Gun
Stun Gun:
1. Is a stronger melee then umbrella
2.Freezes victim when hit
3.Move fast with it.
I would go with umbrella a little more. The only problem for these two is how melees are functioning bad, they take a while to kill a player.