Supposedly, the Nimzo-Indian Defense is best for black when white opens d4. What is the winning percentage of Nimzo-Indian? Is there a statisically better defense against d4?
Statistics are interesting, but a poor way to choose an opening. The first consideration is whether the defense suits your personal style. Some players are most at home in a Nimzoindian, while others prefer the King's Indian. They are completely different, but each is good for the players whose styles match up.
You should first have a grounding in the Queen's Gambit - Accepted, Declined Orthodox, Slav Defense, and perhaps even the Tarrasch (a chess education in itself) before venturing into the Indian Defenses.