This is a great idea if you have the time or desire to do so. Make sure you research any school before you join. A place the emphasizes self defense, over say training people for tae kwon do tournaments would be ideal. If you live near O'Hare I can recommend a place that I used to attend; otherwise, my advice would be to visit several places and watch a few classes before you sign up anywhere.

Also, remember your soft targets if you get attacked. Everyone knows about the groin. That's a great target, but if someone has enough adrenaline or is high on drugs, they might be able to take the pain from that. If you are getting attacked, the eyes and throat are great targets. As a man, if I gouged someone's eye with a fingernail, or punched a guy in the throat in a fight ,I'd probably go to jail. A friend of mine knew someone that was doing 6 months of work release for punching someone in the throat. As a woman, you won't have these dificulties because you will be doing so in self-defense and I'm sure no prosecutor is going to press charges for a woman defending herself in a dark alley from an attacker that likely has a criminal record.
So, if you have a key in your hand, or long nails, and you are in a dark parking lot getting attacked, you can stick the key or your nail into your attackers eye.

There are just some hints I thought off while reading this thread.