The one you enjoy the most. If you have a choice in your area, drop in for a few different lessons. Look at videos from competitions. Choose one you both like and where you like the instructor.
Brazilian Jiu-Jitsu always seems like a good choice whenever I talk to people about it. However it's more physically demanding; more peaceful options may be preferable (e g Tai chi).
Depends on what your goals and motivations are: fitness, self defense, discipline, fight boredom, learn a new language, time commitments..etc. And why just learn 1?
If there are multiple sections in one sport center you like - definitely should give a try to all of that. Visiting more than one sport center regularly for me is a little exhausting in a long run.
>learn a new language
what a beautiful reason.
Running. Works beautiful against fighters of any genre.
You can't knock down the biggest guy no matter how good your tai chi is. You can, however, outrun them.
It works good against guns too!
Issun Ryu. This is what most westerners learn when they learn "karate". Dojos are fairly common in the states. There is critical focus on mental discipline as well as, obviously, physical training. It is a closed hand style mostly, with some weapons if the dojo is equpied for it (most are).
Honorable mention, Tae-kwon-do. Just know, every day is leg day. Very physically demanding.