I have tried several martial arts styles, and several different ways of learning them.
A residence class is best, because having someone watch you and point out exactly what you need to work on, as well as having various sparring partners, is highly beneficial.
But that is expensive, and at least where I have lived, the number of different styles available within commuting distance is quite limited.
So I have gone to several different distant-learning methods, with varying degrees of success.
Dr. Yang is the best long-distance instructor I have come across. He operates the Yang Martial Arts Association (YMAA
He offers MANY different external Martial Arts styles on DVD
I have his Shaolin Kung Fu DVD, and have been working through it for some months now - it is VERY good, has a LOT of information, and is easy to follow.
Whatevery style you settle on, I recommend Dr. Yang Ming as an instructor.
His Doctorate is in Mechanical Engineering - and he applies those principles to his martial arts quite well -