A lot of what I say may have been said but here's my take, I did Tae Kwon Do for 5 years and loved it, and taught as a head instructor for a couple years. I attended over 2 dozen touunaments as a competitor and/or judge.
I got into martial arts not knowing much, and let me say this: what makes the difference is the group of people you find to train with. If you have no preference on punching/kicking/wrestling or meditating, find people you want to be around because they love it. There are 2 kinds of MA instructors out there: those in it for the money and/or glory, and those who love teaching and the art as a whole. The former comes about because most higher black belts achieve greater rank through politics, teaching and events. I was lucky to have teachers that grew up with the art in their family and taught me everything, but also why to do everything so i could teach. I am sorry to say the latter is harder to find, in my opinion which has come from comparing scores of different schools at events.
When you first start out, it's natural to be shy around strange people yelling in white suits. But watch and if you see somthing that you feel you may like, try it out. Most places let you watch classes free. It's all about the group you train with, which is why college can be a good place to train. I personally miss older days of training with people who long left as I progressed. The important thing is you get something out of it and grow, no one should force you to become a black belt or do anything you don't want. I am personally freaked by places that teach you to walk on broken glass and break cinder blocks on your stomach with a hammer. That's rare but out there. Keep in mind normal board breaks are fine, and maybe patio tiles for advanced folks.
That all said, you can typically break Martial arts into 3 categories:
Striking: Focuses on hand attacks (Karate) or Foot attacks (Tae Kwon Do) Within this, since I have been there, there are 3 types os school: the kind that emphasizes sparring anc competition more (TKD is BIG on events), the kind that focus on self-defense more, and the good, balanced kind that teaches you everything but basic moves the most so your sparring and self defense will excel equally. Remember, practice does not make perfect, perfect practice makes perfect. Kung Fu is mostly striking as well, and for Muai Thai just watch the Van Damme movie Kickboxer. If you want to build up calcium depostis in your shins so you can break a baseball bat over you leg, do so by all means but don't come crying to me when you have arthritis by age 30.
Grappling: Greko-Roman wrestling, Judo, Jui Jitsui, Hapkido more about joint locks and submission tacticts. Not too familiar with these but they can be a lot of fun as well and still give a great workout. In the more traditional ones they still teach striking, but it isn't a main focus. As in Striking arts they teach some grappling but it's not the big thing.
Meditaion/Esoteric: Tai Chi, Aikido, Other: These tend to take much longer to progress to blackbelt in because the training requires more focus and practice. Tai Chi tends to practice motions very slowly until you master them for full speed. Aikido is a unique self-defense art with an interesting history and tradition. The general idea of Aipkido is you use your attacker's force against them in a passive sort of grappling way. Then there is Jeet Kun Do, The art Bruce Lee created in His Tao of Jeet Kun Do book. IMO you have to take another art before going there. Many people claim to be good at it because Bruce Lee was so cool, but Bruce emphasized advanced strategy and unpredictable fighting tactics in it. It is a martial art without fixed stances, wheras every other art is about a set of fixed stances, and IMO you need to learn them to move before you can move without them.
Within all this there are hundreds of flavors. Different styles and schools the art came from, there's no one way to do anything which makes quality difficult to judge. It's generational, people who learn it pass it on, so things get left out or diluted. It's a very diverse market. It's not like coca cola or pepsi where you can walk into a store anywhere and make a clear-cut choice. So boil it down to you like the instructor, the students, the atmosphere and attitude. Having a friend to train with can't hurt either but keep in mind it's hard for 2 people to stay even for ever.
I can personally vow if you want a good workout, Tae Kwon Do is very high. Especially if you train at a college with young students. All the kicking and sparring will make you sweat enough to wonder how you're supposed to keep a white uniform clean every night.
Don't be timid and you'll do fine regardless.