I have a wordpress site online and I'd like to integrate Magento into my existing site.
Okay so I want to
The best way to go about is install Magento in new folder and create new database as Magento requires a lot of resources and you don't want get it mixed.
It all depends what exactly is that you planning to achieve. Either to use your domain name as a main ecommerce and setup the Wordpress as a directory
domain-name.com/blog
if it's a blog or something, or you can setup an alias that points to the folder and have something like this:
store.domain-name.com
Another way to do it if you would like to have everything integrated is to use FishPig Extension and then simply update all the WordPress plugins and point it to your existing database.