>>27
I generally agree, however I would warn you a bit on that mindset. While it is certainly true each person has to create their own personal best martial arts, that does not mean that picking up 3 or 4 styles right away is the best long-run path. There are many things that a style can teach you that require 4, 6, 10, or 15 years of practicing before the concepts can be understood. Someone who skips from one martial art to the next in an attempt to "soak up" as much as possible is going to miss out on many of these things.
Even Bruce Lee, who eventually found his own style, practiced under one single martial art for 17 years (or around there) before moving on to learn another and form the seeds of Jeet Kun Do (which he spent his whole life developing, up to his death). If you really, really want to make your 'perfect' style, you can't spend even a few years on a single martial art and expect to know enough to do so.
All in all, the advice I would give is:
If you don't want to devote a significant number of years to martial arts and just want to quickly learn a great way to defend yourself (and get into great shape), do what
>>27 suggested and "cannibalize" everything you can.
If you want to follow in the footsteps of Bruce Lee or something some such and become your "perfect martial artist", find a single martial arts school and study under that for a handfull of years until you feel you understand all the concepts of motion underlying within the system. Then, wait another year or so to refine everything.
I would personally suggest finding a style that was pretty open minded and not caught up thinking that it is better than everything else. Then, maybe after 6 years, add on something a bit different on the side (grappling, weapons, kickboxing, whatever), and start to incorperate what you learn there into your primary style. Etc.
No matter what you are thinking of doing, I can say that by far the most important thing - far more important than style or anything else, by far, is to find a good instructor with a history in the martial art. Too many martial artists become instructors nowdays before they learn the depths of their systems, and their students are lacking because of it. Seriously, tour through several dozen schools, a good instructor will make all the difference.