Depends on the coach, what your goals are, and a few other things, but here are some quick thoughts and my personal 2p’s worth…

Muay Thai

Excluding MMA, Muay Thai, I would say (but what do I know?) is the ‘best’ Martial art. The one, pretty big downside, is the head-trauma that will inevitably occur.
If you consider that – heading a football causes markers of brain damage, then God only knows what a roundhouse to the head does.
Study on soccer / football here – http://www.neurology.org/content/51/3/791.short

I would suggest getting genetic testing done at 23 and me.  If you have the APOE-E4 polymorphism, then according to Dr Rhonda Patrick, you are more likely to have problems/issues/diseases relating to the brain, and should therefore avoid sports with head strikes and impacts.

Pros
Devastating knees, elbows, punches, clinches that work brilliantly from close-quarters
Kicks that work great from longer range

Cons
Head Trauma.

Wrestling

Fantastic controlling opponents, great for self defense – especially one on one confrontations – you can control people, without actually hurting them too.  Great for functional strength, the ‘base’ of many of the best MMA fighters of all time.
One main problem for me, is the strain on the neck and the back.  It’s a style that I like to drill, or spar light with, but a hard session leaves me in a mess for a few days.

Pros
Fantastic for fitness and functional strength
Great Base for MMA
Great for doormen, policemen for controlling people
Effective martial art even with only a few techniques – you can learn effective, ‘high percentage’ techniques within a few lessons

Cons
Neck, knee and back injuries
Size and athleticism is a big factor

Brazilian Jiu Jitsu

Originally for self defense, most BJJ classes in the UK cater for sport-jiu-jitsu, which places the emphasis on ground techniques.  I love BJJ because it’s fun, the risk of injury is limited because you don’t get the big takedowns and throws as in Judo and wrestling.  It’s also good for functional strength and MMA.  I don’t feel it’s a great style for self defense as going to ground, especially to your back, voluntarily is mental in a self defense scenario.

Pros
Limited risk of injury
Can spar 100% without injuring each other
Good for functional strength and fitness
Great for MMA
Arguably the most technical style of martial art there is – you constantly improve, and especially in the gi, technique is far more important than strength, power etc.

Cons
Without takedowns (usually an after-thought in BJJ classes) not great for self defense IMO

Judo

Good for self defense and MMA.  Compliments gi BJJ especially well.  High risk of injury. For me, judo is the toughest of the martial arts to train, as I’m not used to be launched and thrown with a gi and the impacts when landing.  Horrible if you’re not used to it.

Pros
Great takedowns for self defense
Great for gi BJJ

Cons
May not transfer directly to MMA
Risk of injury high due to impacts of throws
Boxing
Great style for learning self defence quickly.  Many MMA fights recently, seem to centre around good boxing and footwork. If you can only train once or twice a week it would take literally years to be considered ‘good’ at BJJ, but boxing is effective as soon as you learn the basics.  Good style for self defence, punching is often all you need, but not great for ‘controlling’ people – e.g. if you’re a doorman, you should, in theory, look to control people if necessary, not punch them and do damage.

Pros
Highly effective for MMA and self defence
Few injuries

Cons
Head trauma
Some bad coaches around that still emphasise heavy sparring and lack of technical drilling

Tae Kwon Do
I actually took up TKD for a few months.  I watched my kickboxing fight back, and saw how stiff and awkward my ‘kicks’ were. I wanted to get more flexible and to be looser around the hips.  TKD is a great style for this, and there is no big impact, smashing heavy pads like in Thai boxing.  So, in a way, it’s easier on the joints and can been seen almost as an active recovery session if you train hard on other days with wrestling etc.

Pros
Great for flexibility
Great for foot and ankle strength (something lacking in a lot of MMA fighters according to some S & C coaches)
Rarely any meatheads of idiots doing it
Not too strenuous on joints etc.

Cons
Some techniques, like some of the blocks, might not suit your style if you cross-train with boxing etc.
Classes can be old-school.  One lesson 8 of us lined up to kick a pad once, then return to the back of the queue again.

I’ll add to this list of styles in the near future…