Krav Maga is very effective but not much fun and harder to practice unless you like bar fights. I have studied a style that is very simple and brutal with an emphasis on creating as much damage as possible in as short a time as possible and continuing until the threat is eliminated. Problem is its hard to spar that way, so your always wondering if it would really work.
I have also studied Muay Thai and BJJ, I would suggest Muay Thai first and BJJ second. Muay Thai is a great way to finish a street fight quickly, both can practiced in real time without much risk of injury. They will both get you as sweaty as you want and you will know your capabilities. Also, you might want to look at Japanese Juijitsu, it is more usefull on the street because it incorporates more standup than BJJ, but thats all I know about it.
The most important thing is to find a good school that is right for YOU and YOUR pace of learning. It might not be your first choice of style, but a bad school will only frustrate you. You will need to dedicate some time to trial and error, so dont sign any long contracts for the first month or two.
As for my 2cents: run from any instructor who claims his style is the only way. Every martial art has its strengths and weaknesses, and different people will excel at different arts. Find your match.