First of all, I see you're in NJ, so it's probably a real pain for you to get a firearm at all, let alone a handgun. So make sure the gun you like, including magazine capacity, fits within the laws of your state.
You've already gotten a lot of good advice. I would add that 9mm and .38 Special (since revolvers came up) are less expensive than .40, .45 and .44. Depending on how you look at it, that means that either: a) it costs less money to shoot 200 rounds at the range or b) you can shoot 300 rounds at the range instead of just 200. And if you shoot a .22, you could shoot around a thousand.
Also, is the gun for defense, or strictly for fun? Even though I'm a bit of a recoil junkie, if I were shooting just for fun, I'd get the .22 first.
Let us know what you do decide on, and be sure to post a range report!