Learn about the different styles and choose 1 that appeals to you. There are practically as many types of martial art as there are other sports combined. All of them provide a good workout, so learn a bit more about the ones that sound interesting to you by doing research and visiting classes. Most instructors don't mind letting you sit in on a class; some even offer a free class to new students.
In east Asia, martial arts can be roughly divided between “internal” and “external,” or “soft” and “hard” martial arts. Internal arts, such as ba gua, favor circular motions and techniques that redirect force; external arts like karate favor angular motion and the direct application of force. Europe is the birthplace of modern wrestling, kickboxing, and fencing, but also of a number of other, lesser-known martial arts, such as pankration (a Greek art) and bataireacht (Irish stick fighting). Brazil is known for a groundwork-heavy variation of traditional Japanese jujitsu, called Brazilian jiu-jitsu, that has become very popular in recent years due to its effectiveness in cage fighting and general self-defense. Brazil is also the home of capoeira, a flashy mix of dance and martial arts that relies on acrobatic body movements.