Agree with some of the things said in this thread although I will clear some misconceptions. Learning how to fight(or defend yourself) is definitely a great thing to learn and devote some time to. Benefits include confidence, fitness, pride, accomplishment(especially if you compete), discipline, coordination e.t.c
I personally Box, I would recommend BJJ for a female though, as it relies more upon leverages than strength and most people who don't train(generally the people you will be defending yourself from, most people who train have a lot of discipline and respect) will have no idea how to defend themselves to attacks on the ground. Also, without sounding crude could help in a rape situation.
You want to find a club that regularly spars or simulates fight situations as realistic as practically possible, so you know how to react and remain calm if you do find yourself in a real life self defense situation.
Since boxing i've been in quite a few scraps and never came off worse than anyone ive fought. Although as already said, you want to generally avoid fights. Ive been jumped by 15+ before after smashing one of their buddies noses . Sometimes it doesn't make a difference, 5-6 random guys off the street could kill the Klitschkos if the motive was there. Try to get your point across always and stand up for what you believe in, but diffuse things if they get out of hand.