Way too general a question?
What are your carry preferences? IWB, pancake holster, paddle, crossdraw, 3:00, small of back, pocket, etc.? How compact a 9mm or .45?
For pocket carry I find lightweight snubs and very small .380 autos (like the Ruger LCP) to be the ideal combination of concealment and caliber. For IWB, an auto under 1.3" wide or a J-frame sized snub seems best because you want it to be narrow. Barrel length and butt height can be worked around, but I prefer a gun that is 5" or less tall and with a 4" or shorter barrel for IWB. For any kind of belt holster you can probably go bigger more comfortably, but concealment will be sacrificed the larger you go.
I have a number of carry guns to choose from when I am out of MD (I have a UT permit). I sometimes carry a S&W 1911SC (a lightweight Commander sized .45ACP 1911), a Taurus PT140 Millennium Pro (a compact .40S&W), a S&W 65LS (a 3" K-frame .357mag loaded with .38+P), or one of several snubs. I have just recently shot enough rounds through my Ruger LCP to be confident with that and it will likely replace my 442 as my pocket gun when used as a backup (I'll probably carry the .38spl 442 when the pocket gun will be the only gun). I've recently bought a SIG P290 (a subcompact 9mm) that has close to enough rounds through it for me to add it to my carry list, and I just bought a Kel Tec PF9 (another subcompact, pocketable 9mm) that I haven't shot yet. So, I have one of each (plus a few calibers you didn't mention).
Any will do the job. Find a gun and caliber combination that you like, that feels good in your hand, that will conceal how you want it to, and that you can handle well at the range (quick follow up shots, accurate shooting), and that should be your carry gun (or guns).