I've trained in Jeet Kune Do techniques, (JKD is NOT a martial art unto itself, anyone who tells you differently is a liar, a fool, or trying to sell you something.) Jiu Jitsu, Krav Maga and straight up military unarmed combat, and I'd have to agree with CincoDeMayo that Krav Maga is probably the most practical combat system you could learn.
Now when I say "combat" that's exactly what I mean, this is not simply self-defense, this is a system designed to disable or kill your opponent, and has some of the most difficult to learn but devastating counters and attacks I've ever been exposed to.
If you can find a competent and professional Krav Maga instructor I would reccommend giving it a try, but be prepared to experience a LOT of pain. You will spend the first 3 months of training covered in bruises, using muscles you didn't know you had, and generally being sore all the time from being slammed around.
And this is all just the physical conditioning before you actually start training.
Krav Maga is not a combat system for pussies looking for some quick instruction over a weekend, this system was designed by the Israeli army to be taught to some of the most vicious soldiers in the world, and is not to be taken lightly.
If you go into a reputable Krav Maga studio thinking you're going to learn how to be a bully, you'll get schooled in why that's a bad idea. A professional would literally beat that attitude out of you. You do NOT learn a combat/martial art to hurt other people. If you do, you have no right to call yourself a martial artist, you're just a punk.
Think about that before you sign up for anything...