First you should find out what classes are available in the area, get a list going. That's where I'd start. Then you can choose your preference. It really varies depending on the instructors. Lot's of places will likely let you sit in on or do a trial session, so I'd look around for one that you're comfortable with. For example, my brother and I learned TaeKwonDo, but we had 3 different instructors.
The first was a traditionalist and he had us bowing to the Korean flag etc dozens of times every practise. Not much fun. He also believed in full body contact all the time for all members. Not a good thing (Some places may do light contact or sport style sparring with guards-good places should not allow inexperienced members to participate in contact, it's irresponsible).
The next one was a class at the local YMCA. It was good, but it had more of a focus on fun and exercise than technique, and many of the students stuffed around, leaving class kind of disordered.
The one we ended up attending was had 2 hour sessions, a large group of experienced members who acted as tutors and leaders, and the class was divided up into groups based on rank/experience and what style people wanted (Sport or traditional). They had a full range of equipment, guards, paddles and pads, so you could practise connecting with blows.
So I think the key thing to your decision should definitely be how the class is run, that's the biggest determiner of how much you'll get out of it and how much you'll enjoy it.
Rose and Thorn said:
If you want self defense just carry a knife. The pointy end goes in the bad guy.
I know it's joke, but bad idea. Too easy to get yourself stabbed, and blood (Yours or theirs) is like, really hard to wash out. Wear steel caps-a lot harder for them to use on you, and great for cracking knees.