Running every ruleset will result in a huge number of rule violations, most of which will be unimportant. Having to sort through a thousand line report to find the few you're really interested in takes all the fun out of things.
Instead, start with some of the obvious rulesets - just run unusedcode and fix any unused locals and fields. Then, run basic and fix all the empty if statements and such-like. Then peruse the design and controversial rulesets and use the ones you like via a custom ruleset.
Generally, pick the ones you like, and ignore or suppress the warnings you don't like. It's just a tool.
Using PMD within your IDE is much more enjoyable than flipping back and forth between an HTML report and your IDE. Most IDE plugins have the "click on the rule violation and jump to that line of code" feature. Find the PMD plugin for your IDE, install it, and soon you'll be fixing problems much faster.
Suggestions? Comments? Post them here. Thanks!