Jocko Willink, black belt under Dean Lister, lays some truth bombs down on what to train. If you don't have time to watch it he says to get a firearm and a CCW if you truly need self defense. A firearm trumps all; bad guys carry guns.
Then you start getting into the world of hand to hand combat. First is Brazilian Jiu Jitsu, then Western Boxing, then Muay Thai, then Wrestling. After you've trained those you can start looking at sticks and knives type martial arts like Escrima.