Now, there are several people far wiser and far more badass than me who have a bit to say on the topic, but I suspect that I reach a different demographic. I also intend to address studying martial arts for the purpose of improving oneself as a choreographer and/or performer. I'll also address self defense training a bit and how it might differ from what you might usually think of in martial arts.
Before I go much further, I'd say the first law in picking any physical discipline has already been laid down by Rory Miller: "Train in something that makes it a joy to move."
That being said...