Here is a link to a Wing Chun master showing some impressive techniques that could be used for self-defense. Here is a link to MMA fighter Jason Chambers getting poked with a rubber knife a whole lot. Here is a link to a Martial Development post contrasting the two. Here is a video of the eminent karateka Masatsu Oyama killing a bull with his bare hands.
Now that I've linked to some things far more interesting than what I'm about to say, here's my take:
Doing it as a sport
This is questionable because it depends on why one does sports. If you are interested in martial arts as sports only, I would say they are very expensive and potentially dangerous at a competitive level.
Using it for self defense
Self defense is not much of an issue if you live in a safe part of the first world. Again, martial arts are expensive and rarely all that useful.
Using it to feel more secure about yourself
No comment.
Personally, I would say one should train martial arts to train martial arts. If you train as exercise, you will get the benefits of exercise. If you train for spiritual reasons (not unheard of) your benefits will be spiritual. Mind you, the better you train, the better your benefits ought to be.