I'm not trying to boast.
I've been playing drums since I was about 10. Not professionally. just as a hobby I guess. I had 6 years of lessons and in year 11. 12 and the first couple years of Uni I taught as well. It's something that has stayed with me the whole time. to the point that I bought an electronic kit before I bought my engagement ring.
For years if I have a headacke, I can play drums for half an hour and make it go away. not all the time but it's often helped.
There were times when I didn't enjoy it, the book my teacher taught from is pretty old, it has a section called Disco music. it's basically different patterns where the hihat is opened as you play it creating a sizzle sound. the start of this video has an example. I was really sturggling to get it, for weeks, in the end I told him I didn't wannt to do it. he had a chat with my folks and they all talked me into trying it some more. I now use this technique everywhere. the label, of disco, might be where this was something that was a predominant technique but I challenge you to find a type of music that doesn't incorporate it.
Learning a musical instrument is not easy, if it was everyone would be doing it. The long term life rewards are pretty sweet though. I've played in school bands, university orchestra, two revues at uni, and i spent some tome in a 12 piece funk band in my second year at uni. I miss it a bit, I haven't played with other people in over a decade.
My recommendation, if there is a particular instrument you like the sound of, or the music it features in, try learning that. Definitely have lessons, they are expensive but can't be substituted for.
If you are generally interested and have no particular instrument in mind, like others have mentioned I'd suggest piano or guitar. in either case, acoustic is probably a better place to start. Piano's are big, so that might not be an option for you.
Whatever instrument you choose, I can't stress enough that you are much better off buying something second hand. The quality of a 5 or 10 or even 15 year old insturment that might cost around 500 to 1K is going to be so much better than a brand new $500 -1K at a music store. the stuff that costs that much at a music store usually won't last that long and because it's cheper and lower quality it's actually harder to play. there are idiosyncracies with different instruments that you need to look out for so I recommend having someone you know who's musical with you when inspecting a second hand piece. a bit of googling will educate you on the different brands and lines of hardware that is out there for the instrument you are interested in.
I've rambled a bit, Mrs UltraMarginal is away, so I've been watching the 3rd hobit and drinking copiuos amounts of beer.
Hopefully I've been some help, feel free to PM me if you are looking for some further advice. Drums are also big, take up a lot of space and take lots of time to pack down and set up.