What is "Martial Arts"?

First and foremost, it is an art. Just like painters and musicians, martial artists get to develop a style all their own. No particular style is better than another just like no type of music is ever "better", it's all a matter of personal preference. Finding a martial arts style that fits you has a lot involved, but here are some key factors to get you started.

Set Your Goals
What do you want to get out of it? Self-defense, a competitive sport, fitness, self-confidence?
Be sure to define some small goals before you begin. While martial arts will show you how to achieve these goals, even more important is how martial arts teaches you to mentally prepare and persevere to make your goals a reality. Start small, but you'll quickly find yourself setting larger goals as you define your art.

Location
If a martial arts school isn't close to where you live and/or work, it will be much harder for you to continue the amount of discipline required to excel. Try to find a school no farther than 15 minutes away, even if it's not the exact style you want. Learn the basics from somewhere nearby, then add in the style you really want to make an art all your own.

Instructors
You want to be sure that your instructors teach in a manner that works well with your personality. Obviously, the best way to do this is to visit a school "Dojo" and watch a class that you are interested in. Stick around afterwards to meet the other students, talk with the instructors and find out if this school can meet your needs.