Christian knocks at the wicker gate in The Pilgrim's Progress
The return to tradition is a wonderful stage in the spiritual quest of the contemporary seeker of truth and reality who is sensitive to both the beauty and diversity of revelation. It is an opportunity to examine yourself and find the fulfillment of your disposition and aspirations within one of the world's great orthodox religions.
Different people tend to approach this task in various ways. Some seek to rekindle an appreciation of that which is most familiar by returning to the faith of their parents or ancestors. Others seek fulfillment in foreign religions free from cumbersome prejudices acquired through negative experiences of the past. Some take a circuitous route of trial and error leading to discernment while yet others with a clearer goal in mind take the path of least resistance based upon the consideration of expediency. It is ultimately up to you to find your own way but it is always helpful to share your inquiries and solicit feedback from others who have previously passed through this stage or are currently traversing it themselves.
One of the most helpful guides related to this question that I have encountered is Some Thoughts on Soliciting and Imparting Spiritual Counsel by Marco Pallis which I strongly recommend to your attention. He provides remarkably intelligent and succinct answers to common questions proposed by seekers as well as various related considerations likely to arise along the way.
A useful preliminary consideration is that of accessibility. Christianity, Islam, and Buddhism, as religions of conversion with universal appeal and applicability to all people indiscriminately, are generally the most accessible to the contemporary unaffiliated Western seeker. This is not to say that other traditions are absolutely closed to the Westerner but rather that there are various social and cultural barriers that make those possibilities more remote.