One should know how to protect himself. I've been studying martial arts since I was in elementary school, and it gives you a higher degree of confidence when out on the streets, whether with your gf, friends, or mom.
Study a mix of martial arts. I suggest the following:
Muay Thai (excellent standup techniques...knees and elbows are powerful tools)
Boxing (get the feeling of getting hit and hitting...lean to feel pressure with another opponent in a live situation)
Brazilian Jiu-Jitsu, Judo, Sambo, Wrestling (ground fighting is essential. BJJ will give you an excellent foundation, but wrestling and judo can give you an even better takedown knowledge)
Kali (Knife fighting is simply awesome. It's legal to carry one, too)
Krav Maga (if you can find a good krav maga school, it's great. dirty techniques are taught, which can be added in addition to a solid martial arts repertoire.)
