Golly, that’s a broad question. Let’s narrow it up a bit.
a) Melee Weapon Training: start with a Style that focuses on making weapons Better. Eskrima and Pentjak Silat both focus on taking otherwise less-desirable weapons such as sticks, clubs, and knives and making them much deadlier, whilst Fencing takes a very limited selection of Western sword types and makes them rock big stone bells.
b) Martial Arts Training: start with a “lower tier” MA style, which currently is NOT compatible with weapons. You can find the style manuals for all 5 options in-game, as they can spawn in dojos, so this trait currently isn’t very valuable.
c) Self-Defense Classes: start with a mid-tier MA style. Ninjutsu and Krav Maga can provide minor benefits to weapon use, Muay Thai confers pretty effective benefits but can (rarely) show up in a boxing-gym, and the others are situational. MT is the only one available in-game, at the moment.
d) Shaolin/Venom: these start you with a kung fu form. KF is currently incompatible with weapons, but is generally considered the top tier of MA. Tiger, Dragon, and Centipede styles are generally popular; Scorpion has its moments and Toad may be interesting.
Hoping that helps.