Personally, I believe self-defense should be in the required curriculum of every person on the planet. Besides the obvious benefits a good martial art provides, it also gives you an entirely different way to express yourself.
Then again, I also think everyone should learn cooking, shooting, first aid, acting, debating, horse-riding and speaking as many languages as they can master...
Regardless, as far as survival goes, of course you want to be a good fighter. The reason is, you're no longer at anyone's mercy. The first thing you learn in a good fighting school (dojo? not so much) is that a black belt will friggin' kill you given the chance and to run like hell if you're ever in a fight. The second thing is, black belts are people, too. If you blind-side or otherwise trick them, they go down just like the rest of us. Well, just like the buffer, meaner versions of us. Point is, you can always fight back, even if not directly.
What to study? So far I've gone through Ninjutsu (scam), Karate (lol) and Krav Maga (ouch). From my limited experience, I'd recommend Muay Thai sprinkled with some sort of wrestling, be it Judo, Jiu-Jitsu or anything that teaches you to stay alive in a horizontal position. That's the mix I'm most afraid of, anyway.
Kung Fu practitioners can be pretty damn imposing, but I suspect it has more to do with the insane amount of training and conditioning they go through than actual technique.
Finally, weapons. Locking knives are illegal in Israel, so I've got nothing of substance to contribute. My personal impression is that a one-handed opening knife might be a life-saver if concealed properly, but it has little stopping power. Guns are illegal as well, so it's a moot point. I suppose I'd want to be a decent shot in a Zombocalypse, but doubt I'll get the chance to use this particular skill otherwise.