I'd personally recommend Haskell. It's going to stretch your brain (in a good way), and helps reinforce all the "functional" concepts. It's one of the very few purely functional languages, and it does have a bit of a learning curve to get started with, but I think it's worth the work. There's a lot of library support, and almost all the sample code you find online in tutorials is well written. You can pretty much do whatever you'd like with Haskell (Web servers like Yesod, to all kinds of fun AI/ML stuff). If you're into computer science theory, you'll find as much as you'd ever want with Haskell. The GHC (compiler) has particularly good support for concurrency and parallelism (likely in most cases as good or better performance than Erlang).
If you're a quant looking into building a trading algorithm OCaml is a good choice.
Some notes for learning Haskell. Start with 'Learn You a Haskell for Great Good' (http://learnyouahaskell.com/chapters). Then move on to 'Real World Haskell'. Then 'Write Yourself a Scheme in 48 Hours'.
Eventually you'll learn about Monads. They aren't as hard as most people claim. They're very abstract, and require you to think differently about things. There are plenty of great monad tutorials out there. Read one every night before you go to sleep. One day you'll wake up and it will all make sense.
The key for learning your first functional language is to forget everything you know about programming, and embrace the fact that you're starting from scratch. Otherwise "Returns" and using recursion instead of loops might trip you up. It's not "Hard", it's just different. If you're prepared, it's not a difficult journey, and you'll be a better programmer for it.
However, Scala was the "gateway" language that helped me grok the core functional concepts after a long history of doing just OOP.
^^ one of the most interesting (and entertaining) experiences I've had learning a programming language
That would be my suggestion.
