First what does self-defence mean? Check wikipedia webpage here:
Favourites of mine:
Karate: I would like to say that the style doesn't matter, being Shotokan, Kyokushin, Ashihara, .... Any style is very good, any style includes strikes, blocks, sweeps, some throws, and will cover all the fighting ranges, so, what really matters is how you train and where you train. You have to find a good dojo (school) with a good instructor and give everything you can and you will become a good fighter.
Jujitsu (Jujutsu): Here I am discussing about Jujutsu (Japanese Jujitsu, German Jujutsu, Connelly Jujitsu ...) and not about Gracie Jiu-jitsu. I mean standing up Jujitsu, and not Gracie Jiu-Jitsu. Jujutsu is a complete style with everything you need for self defense (strikes, throws, locks, chokes and many more), also including weapons training, sticks, knife, but depends on each school what they will teach most of the time, so find a good school where you can train everything. If you want to see the differences between Brazilian Jiujitsu and Japanese Jujitsu check these links: Part 1, Part 2, Part 3 and Part 4.
Hapkido (Combat Hapkido): A great martial art for self defense, but it's very difficult to find a school where they will not train jumping kicks and any kind of fancy stuff which will not work in a self defense scenario. Most of the time they will teach you Taekwondo with "hapkido taste", so please be careful when you chose your school. That's why I mentioned Combat Hapkido, because it is Hapkido without fancy stuff and with something more added from different styles.
Modern Arnis: If you want to focus on weapons training but also the techniques can be applied without weapons, then, this martial art it is for you. Modern Arnis has a lot of techniques added from Small Circle Jujitsu very nice blended with their original techniques. It's fun to train and a very powerful martial art.
Krav Maga: It was designed for war, literally, but what is taught to civilians it's a striped down version of the Israel Defense Forces' original hand to hand combat system. Will give you the knowledge to defuse a situation quickly. It's dirty but effective. Krav Maga is a principle based system, not a technique based system. One of the main goals of Krav Maga is to develop a strong fighting spirit, to never give up, and do what it takes to win.
Wing Chun: Is a concept-based Chinese martial art and form of self-defense utilising both striking and grappling while specialising in close-range combat.
I am a big fan of cross training. As you know from my previous posts, I am training in Shotokan Karate and Connelly Jujitsu, but any time when I have the chance, possibility and opportunity to train or attend a seminar in a different martial art style I will do it. You can take a lot of useful information from any kind of martial artist and incorporate in your training. But anyway, you should know and decide at some point which one is your main martial art because you will not be able to really advance in all of them, or if you are a beginner, different martial arts styles with different concepts will just confuse you. Just be careful.
The above mentioned martial arts have and cover some ground fighting techniques, or better said, they have some escapes from the ground to be able to bring the fight as standing up as soon as possible. In a self defense situation you may be facing more than one attacker, and the ground would not be a safe place to be. Fighting on the ground is not an option for self defense but you need to know, anyway, some basic techniques, escapes, .... If you really want to be master in ground fighting then Brazilian Jiu-jitsu is the way to go, there is no alternative way.
If you want to be a "complete" fighter, then you should consider to cover every range of fighting, this usually means that you need cross training. For example if you like grappling, Judo or Gracie Jiujitsu, then you should also consider to train in a striking martial art, for example, Muay Thai, KickBoxing, Boxing or even Taekwondo.
There are many other martial arts that could be very effective for self defense, as well, but I don't have to much experience with them or sometimes is not an easy task to find a good school (JKD for example, usually they will teach you Kickboxing and will call it JKD). Here are some of them: Jeet Kune Do, Vale Tudo, Aikido Yoshinkan, Brazilian Jiujitsu, Sambo, Systema, Kajukenbo and Mixed Martial Arts (MMA).
A lot of people will tell you that MMA is the most effective, the most dangerous, the coolest martial art in the world, the best for self defense but check this post/article, as well, before thinking of that.
Keep in mind that some of them are NOT complete systems of self-defense, for example Judo, Sambo, Taekwondo, Gracie Jiujitsu, because they will not cover all ranges of a fight.
So, what style should you choose. That is a very difficult question to give an answer because there is no such "universal" style. If it would be, than everyone would train in that style I suppose, every military and police academy would be using the same one, that's why every person chooses what it's most suitable for him. What's the best car? What's the best food? There is no answer to these questions. The style is not important, what matters is how good your instructor is and how you train. The style is secondary, they all have there pro's and con's there are no superior styles. Its the person that has the ability to fight not the style. If you want to learn a complete system, even if it will take a full decade of dedicated practice to become good, then Jujutsu, Aikido, Hapkido, Modern Arnis, ... is for you. Any complete system of martial arts include: kata, weapons training, multiple attack training, conditioning, and of course philosophy. That is why it takes so long to become good in a complete system. If you want to learn something faster, and to be able to defend yourself in a few months (6-8) then you need something like Krav Maga or a similar military hand to hand combat style. The soldiers don't have years to learn how to fight and survive, they have just a few months, that's why their "style" is what you can learn quickly and will be more combative, brutal and dirty.
For police and law enforcement officers the most suitable martial art would be a blend of working techniques from Judo, Aikido, Jujitsu, Modern Arnis, because they are not allowed, usually, to kick and punch a suspect. They should use locks, holds, ... to restrain the suspect.
So, choose a school with a good instructor that incorporates all aspects of self defense, train hard and have an open mind, that's what matters.