If you want to lose weight, I suggest running.
That's what I plan.
Take Brazilian Jujitsu.
Learn to choke people out with your legs :D
Heard good things about this one.
Learn Shaolin.
Why?
I took Tae Kwon Do a year or so ago, but that's mainly for self-defense.
Self Defense is all I really need, but I took one class when I had to wait for him to do the class and the kick-block was bullstuff.
Really just find something you think is fun and interesting. The physical self defense aspects really go to hell once a knife or gun gets involved (protip: if someone pulls a knife on you run away) although being trained in anything is a step up if you're in some fist brawl. Hopefully what you learn from martial arts is how to avoid escalating a situation to any significant violence in the first place.
I started taking martial arts classes when I was 20 and didn't have a problem. If you even take it mostly seriously you'll do well; there are a lot of bozos out there who take a few classes and think they're some sort of master fighter.
Arnis is what I have the most experience with but I've dabbled in other forms last year while exploring. Everything has its pluses and minuses. Everyone can agree that Taekwondo is bullstuff though! 
I don't think anyone would try to fight a knife. Of course, martial arts would help my cardio, thus letting me book it faster. I would only use it to stop something from getting further like getting someone in a chokehold, dropping their ass, and running/walking away.
I can see why people would get so excited about taking martial arts, they might get carried away.
Don't use a gym for treadmills, go outside for a walk and use your gym time for strength building.
For martial arts, I've done shaolin kungfu for a while and I absolutely love it, so I recommend that. It's basically up to you though, anything you find interesting/cool is a winner. I got into kungfu because of the buddhist background and history behind it.
It's pretty cold out and my dad smokes around me, so I am a stuffty runner, but walking should be fine.
Gonna check out Shaolin Kungfu.
I do karate. but choose whichever you want .
just don't think you will be able to beat people up whenever you want
I don't want to beat people up, but if some kid starts it I will fight back.
Is karate legit? It's thrown around so much I think it might just be not as good.