IIRC, there was a thread on here a few months ago regarding shooters' perception of recoil, and a large majority of folks rated them as 9 mm being the most comfortable, .45 second, and .40 the least comfortable.
My perception is with the majority. Because of comfort, speed and accuracy of followup shots, and the cost of practice ammo, 9 mm is a good starting place among the legitimate self defense calibers.
Factors to consider in choosing an individual pistol are weight (which is bad when you are carrying it but good when it is absorbing recoil), grip size and shape relative to your hand, capacity, trigger/hammer/striker action, and presence or absence of an external safety. All of these factors except the fit have advantages and disadvantages to consider, and you will need to consider your own needs and preferences. When you talk to people about what handguns they like, listen less to what they picked than why they picked them, and you will be able to make your own choice.