Whichever is available in your area, which you can afford, and which has a friendly enough environment that you'll actually keep going and learning. I'd say don't focus on "which style or sport", since if you're asking this sort of question, it suggests any would be better than the none you presumeably have now.

Disclaimer, my only experience is boxing (which is a good choice both for being widely available and widely applicable) and crappy backyard wrestling with friends who learned properly in high school wrestling/ college.