Lots of good advice here, I’ll just add a few cents of my own…
When searching for a school, there are a two key points you might want to consider:
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Find a school that you are comfortable in. Every school has it’s own attitude and demeanor. Some are very rigid with the teacher always referred to as sensei or sifu. Some are more relaxed. Some are high pressure, others are low key. Find the one that best suits your personality and makes it easy for you to learn.
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For practical self defense, finding a school where full contact (or mostly full contact) sparring is essential. Adhering to rigid forms and moves will not serve you well in a fight. You need to learn how to read your opponent and yourself. You need to find out what moves are effective for you and which ones simply don’t work, and the only way to do that is to actually use them.
I’m going to disagree with a few of the earlier posters, I would avoid boxing. Boxing can be beneficial because it will teach you how to take a punch and it will give you a lot of experience in the ring, but boxing has such a rigid set of rules around it that I don’t think it would make a very effective self defense technique all on it’s own. I think it would be great as a supplement to any other style. Few sports will give you the total body conditioning like boxing will and I’ve often heard that American boxing produces one of the most effective punches of all systems, but boxing will only teach you to defend yourself against someone who is coming at you from the front at arms reach, who isn’t grappling you or brandishing a weapon. For similar reasons, I would avoid Muay Tai as a solitary defense method, but would recommend it as a supplement.
“Internal” styles such as Tai Chi, Ba Gua, Hsing I or Aikido can be enormously effective, especially against multiple opponents, but they generally take a very long time to become profficient in, and as such, probably aren’t good choices for you as a solitary system.
I would look for a good practical system such as Jeet Kun Do for practical fighting. A form of Karate could be good specifically for you as well as it will be an excellent confidence builder. It will teach you moves that you can apply to the real world very quickly and will give you a structured learning environment with attainable goals that you can reach. (ie. getting your next belt)
I would also like to point out that in this day and age, many of the martial arts have leaned towards the sports aspect. Hand to hand combat is not as prevailent as it used to be, so many of these arts are being relegated to competition as their primary use. This is why many people feel that systems like Tae Kwon Do are not effective in actual combat. The thing to remember is that most of these styles are decended from real combat styles, and are capable of being effective self defense techniques. The trick is to find a school that is teaching martial applications for these arts. A classic example is Tai Chi. Many people think of Tai Chi as the funky thing old people do in the park at sunrise, but if you’ve ever seen a Chen Tai Chi master at work, then you know that Tai Chi can be a devestating defense system.
For the OP, it might make the most sense to take a few classes in personal defense that will show you some techniques and some applications to situations you are most likely to come across in the event that you were being mugged, rather than going to train a full martial arts system.