In my experience, the dojo or club at which you choose to study a martial art is as important as the style you choose. If you get into a good dojo or club, you'll learn more and probably stick with the style longer, thus gaining more benefits from your study. A bad club or dojo can discourage you from studying martial arts altogether; poor instruction can mislead students into thinking that they can handle fighting situations that they cannot, with injury or worse the result.
How do you choose a club? The best tactic is to select a group of styles that will likely benefit you, then narrow your choices down by dojo. As the writeup above states, the first step in this is to know what you want to gain from your martial arts study. Fitness? Competiton? Self-defense? Spirituality? Flashy moves? All these are possibilities.
The second step is to know your own physical limitations. If you're young and in good athletic condition, you can take your pick of styles. However, if you're older or out of shape or have a lingering injury, you need to investigate how the styles will affect your health. For instance, an out-of-shape 35-year-old probably shouldn't dive right into a strenuous karate class dominated by energetic 18-year-olds. Someone with a back injury should stay away from arts that focus on throwing and ground fighting like judo and jujitsu. Likewise, if you have wrist or finger problems, hapkido's focus on small joint manipulation would make it a bad choice for you.
The third step is to know your financial limitations. Arts like krav maga that have gained media attention or are otherwise experiencing a boom in popularity will often be more expensive to study than other arts. Conversely, more affordable clubs may be found at local colleges and universities. You also have to consider the indirect cost of taking a martial art, such as its effect on your health insurance. If taking karate is likely to raise your premiums, you might want to try tai chi instead (which is really kung fu slowed way down; the martial art aspects of the style become more evident at higher levels).
Every martial art (but not all sport forms) should:
But you shouldn't be beaten up. If you're hitting bags or practicing partner punch-and-block drills, you may be bruised up a bit -- toughening your hands and learning to take a punch is part of the conditioning process with some styles like karate, hapkido, and kung fu. Being a "uke" and practicing throwing and being thrown by your partner is par for the course in judo, jujitsu, and hapkido, and bruises come with the throws. But if you find yourself constantly injured, or if you feel you're being coerced into exceeding your body's safety limits, something's wrong.
But self defense training goes beyond learning to maim an attacker -- your instructor should cover basic safety precautions to help you stay out of bad situations in the first place.
Some martial arts will:
Different styles teach different weapons:
Once you've got a handle on the types of styles you think would suit you, start visiting the dojos and clubs in your area. They should at least let you observe a class or two; some might let you try a session for free. Here are some things to consider when checking out a dojo or club: