Just do a martial art that will keep you coming back.
Ever since I learned how to fight I never got in a fight ever again. Nor have I allowed myself to be intimidated again.
It also teaches you never to underestimate your opponent. I remember sparring against a girl and she kicked me square in the chest - couldn't breath. Another time I gave a black belt 3 jabs on the forehead and he said he could feel the plates of his head shift. They were soft jabs, but precisely in the same spot. Teaches you that strength isn't the most important thing. It's technique that's important.
Whether you train BJJ, JJJ, Judo, Boxing, kickboxing, MMA, or whatever, just make sure that the trainer knows what he's talking about.
I live in the netherlands where a lot of kickboxing World Champions come from, so for me the best would be kickboxing.
If you're in Japan, I say either Judo or Jiu Jitsu, doesn't matter which. If you're in Brazil: do BJJ.
Since you're probably in America, I recommend you simply do boxing. All the great boxers, besides the klitschko brothers are from the states. So do that.
Also, find a trainer you like and a gym you like with cool people.