Until a year ago, I had absolutely no music education, and I decided to change that around this period, well more exactly I picked up on (acoustic) guitar as a hobby and from there gained interest in knowing more about music. And so I discovered some theory: scales, chords, keys, harmony, melody and rhythm on websites and in some books. I also followed Wright lectures "Listening to music" http://oyc.yale.edu/ and read the first chapters of his book on this course (or vice-versa). I've gained knowledge but I'm not sure about the next steps, should I try applying it on my guitar ans starting to transcribe/compose? Listen the most to the broadest set of music genres? Start focusing on one? I'm a bit lost in my learning path, and would be glad to hear some suggestions.
The best thing you can do short of entering a formal musical education program is hire a tutor.
If there are any community colleges or universities around, inquire about tutoring. It's been my experience that most have tutoring services available to non-students and they are usually rather good. A community college will also let you enroll as a part-time student or a student at large which will allow you to take lessons through their music program (I recommend this as the best option) without having to go through the application process or committing to a degree program.
A tutor or instructor will help you correct bad playing habits much more effectively and give you a great deal more direction in your learning, which will make the process far more enjoyable and efficient.
Interesting question. All of our modern western music stems from western classical music. I believe that the fastest and most effective way to learn the fundamentals of triads, diatonic chords, progressions, harmony, voice-leading, and chord-scale relationships is through the study of traditional classical music.
You don't necessarily have to play classical music, although that would certainly reinforce certain ideas. Studying and listening to classical music should be enough to help you get a grasp on the basics. I say classical music because it adheres very closely (for the most part) to a strict set of principles and rules that lay the foundation for all music. First learn the rules. Then learn how to break them.
The next logical step in furthering your musical education would be jazz theory. Rock, blues, country, and folk etc. are all fantastic music genres, but they didn't break new ground musically like jazz did.
Music theory can become an extremely complex beast to tackle. Use it for what it's worth, but never let the music stop being music.
The first thing to consider is, whatever the goals you set, you will get there faster if you play with an ensemble and with an audience.
Playing with other people (preferably better than you, which, given your lack of experience so far, should be easy) gives you a measure against which you can measure yourself, and a set of people who can (hopefully in friendship) point out your failings. You also will clearly identify failings, as in joining in, you identify and are mortified by the point where you fail.
Playing in front of people put stakes to the situation. If you're jamming in a basement, you can start over again several times, and you can throw clams like a fisherman, but if you are in front of an audience, you can't.
As for the specifics, music is organizing sounds over time, and your sense of time is unlikely to be musical. A good exercise for working on this is to mute the strings of your guitar and try to strum along to the rhythm of the songs on the radio, or on a random Pandora stream, or whatever.