I went through this not long ago, a 27 year old who has done nothing in the way of physical activity since high school. My advise is already listed here, but I'll repeat it.
First, Research the various styles and rank them according to thier focus (eg. Karate is a standup art primarily, whereas Jiu Jitsu is more of a ground art) and your interests. If you dont really care, or dont know, go to step 2.
Step 2 is pull out the phone book and call every martial arts school in the area (unless you've narrowed down the styles). Most good schools will allow you to try a class or two. Try them out, talk to the students and instructor, and decide based on the mood and the people (for example, if all you want is self defense, don't join a club that contains alot of aggressive, tournament focused training). Its the people that make the club, I cant stress that enough. Find one that is compatible to your goals, and have fun.
Im a martial artist myself.