Yes, get a degree. No, do not study CJ.
If you go federal, you have to move to move up. Also realize most of federal work is nothing like what you think it is. I'm assuming you'll have Veterans Preference going for you so that'll help a bit, but so do a lot of other people.
If you want to kick in doors, go be a big city cop. Don't expect to get on any special teams or tasks forces for years, but it's certainly not impossible either.
If you don't have the time and money to pay for your own academy, DPD is a place to start. Just don't stay too long. Troopers have their own academy too, but I dunno why anyone wants to hump the highway. Yeah, I know, there's so much more to the State Police.
Overall, it is a good and bad time to get into law enforcement. Bad because of the political, economic and social climate. Good because a lot of departments are having hard times finding decent, much less excellent candidates so it's possible to have departments compete for you. Of course, a lot can change in the next year, plus time for schooling and academy.
The best advice I can give you is realize that no matter how exciting a given career may seem, in the end it's just a job. The newness wears off. Don't let your job define who you are, a job is simply a means to procure the money you need to live the life you want.
Best of luck to you!