For a first handgun, especially one that's going to be used defensively, I'd rather practice with the same round I'm going to trust my life to. While the .22 conversion kit is definitely an option, practicing without the recoil of the .45 is nothing you can't achieve by dry-firing in your own living room. 9mm is a perfectly adequate defensive round, well-suited to inexperienced shooters, and relatively cheap, so it's where I tend for new shooters.
If you're not planning to carry concealed with this gun, you can't do better than another of the Prophet John's designs, the Browning Hi-Power. It's an all-steel 9mm, and the second most-naturally pointing gun I've had the opportunity to shoot. (First is, obviously, a neighbor's 1911. =P)
If you are, or think you might want to carry at some point, there are dozens of polymer-framed 9mms out there, and you're bound to like at least one of them. I regularly shoot my S&W M&P and my brother's Springfield XDm, and I have no problem recommending either, they're both sweet shooters. HK makes a solid product, but they're awfully expensive and I haven't yet been able to try one out. Glock is, IMO, the very bottom of my personal barrel. I didn't shoot the Glock until after I'd already bought my M&P, and it just didn't feel right in my hand at all. But if it fits you, go for it - just shop around a bit first.