That's a mighty difficult question to answer. You'll find everyone has an opinion on it but few will really agree on what's best. You'll just have to find something that works for you.

Not trying to persuade you any way or the other, just to share my own experience - I've done a bit of self-defense training in the past, starting with boxing, then some MMA and BJJ classes. In the meantime I also experimented quite a bit with military combatives, especially the WWII system by Fairbairn, Sykes and Applegate.

The boxing, MMA and BJJ improved my fitness way beyond what I expected. I also learned some valuable things about fighting a fully resisting opponent in a controlled environment.

And there's the catch - it's an "opponent" in a "controlled environment". Not a bad guy (they tend to bring along a friend or two) intent on sneaking up on you, maybe distracting you with some verbal ploy, then strike when you least expect it. Combat sports are extremely important for developing a whole range of skills but they won't necessarily prepare you for a real-life confrontation. I have personally seen experienced combat athletes, and good ones at that, who gradually became cocky and arrogant because they believed in their skills too much. What they did not realize was that the bad guys don't fight by the rules. No matter how tough you are, everyone can get blindsided and no amount of working out will make you knife- or bulletproof.

Military combatives, Krav Maga etc. on the other hand are excellent because they're all about the mindset and mastering the basic, but most effective, techniques. The problem is, combatives work because they're part of a bigger system (boot camp/military training). You're already supposed to be fit to begin with, you really must mean business and train with maximum intensity. In the civilian world those qualities are hard to come by in most people.

Another BIG problem is that a lot of combatives teachers, maybe most, are not in fact ex-Special Forces or whatever they'd have you believe. Many probably have zero actual experience and may never have tested their skills for real. There are just too many crooks and wannabes out there who can't really walk the walk. Following their instructions might get you hurt.

Whatever you decide in the end, you WILL need to do some full contact sparring eventually. If you don't, you won't know how it feels to be in a fight. You have to learn how to take a punch. My advice would be to start with a legitimate combat sport under a good teacher (something like boxing, Judo, Muay Thai, MMA, whatever suits your bill). Once you get the hang of it, look into more reality-based self-defense classes, maybe combatives. By then, you will already have enough training to be able to sort out the crooks from the real deal.

Also, if you have the time, I would suggest looking into some of the books by Geoff Thompson. All the best and stay safe!