Considering that the point of code golf is to think in terms of a given language's kolmogerov complexity, in my opinion it doesn't matter much which language you use as long as you are clever. All of {Golfscript,CJam,Pyth,J} allow you to exercise creativity as do non-golfing languages. While code-golf technically claims "shortest code wins" this typically only really matters within each language. Often more important (as far as I can tell from looking at voting patterns, etc) is how creative or difficult your solution is.
For example HQ9+ while hilarious doesn't really win a 99 bottles of beer competition, because writing 9
isn't exactly showing effort. Meanwhile the Malbolge execution of 99 bottles of beer is considered incredibly cool despite being very lengthy due to its creative nature and the effort put in to make it. If HQ9+ did win we could merely define a language L
which states: L
outputs the solution to this problem, otherwise the code is compiled as C and executed.
This is why most old golfing sites still in operation are language-specific (Perl, Vim, C [if you count IOCCC]) because comparing code-sizes of different languages just doesn't make much sense. Most languages will have at least one challenge where they win. That doesn't make them 'better' than the alternatives.
Interestingly enough I have found that if you stretch the definition of language too much you get very creative/odd solutions to problems. (EG: many ASCII-art competitions could be won by a series of Vim keystrokes over at vimgolf.com).
If code-length is really all you care about, there are even more terse languages then the mentioned Golf-oriented languages. The reason they are often used for golfing is that their code-size is typically directly related to algorithmic complexity, whereas in for example C, you may sacrifice algorithmic complexity for shorter syntax to out-golf the competition. Meanwhile the even terser languages aren't really designed to be human programmable, and are more oriented to approximating kolmogorov complexity or theoretical applications.
My recommendation: learn whichever golfing language is based on a language you like. If you enjoy Python, learn Pyth. If you enjoy Ruby, learn GolfScript. If you like C/C++/Java learn CJam (and if you find you enjoy CJam you may wish to look into Joy which is a similarly concatenative-stack-based language designed for usability rather than golfability)