I've found concealability in a semi automatic is more about the holster than the weapon itself. I conceal a 5" 1911 fastback fairly well, and would not conceal a shorter barreled one any better until the magazine/grips get shorter. In other words, with a high quality inside the waistband holster, the only thing that gives me away is if I bend/move like I did before I carried, and the corner of the "handle" will print (stretch the fabric of my shirt/jacket/vest (cover garment).
There are three main types of holsters for your concealed carry...
Pancake. It goes on your belt, and over your pants like a cellphone holster. As such, you don't have a lot of room for your cover garment to ride up through bending, stretching or reaching. The Paddle holster to me is a subtype of the Pancake but worse still. The paddle attachement isn't as solid, and pushes the firearm even further away from your body increasing the chances of just printing as you stand there.
Ankle holsters and shoulder rigs. Especially on the ankle holster, you're carrying where people don't spend a lot of time looking. If you're a big guy, using either can be problematic. Shoulder rigs can carry the gun either vertical or horizontal. I've got a horizontal rig from Galco. The Miami Classic II I believe it is. It works for me, but it's not my preferred rig- because of the length I have to reach to get it. And, you sweep the business end over anyone behind you while you walk around. One in a million millions for everything to go just wrong. Not worrisome, but something to keep in mind.
Inside the waistband. This is my preferred holster. Wear an undershirt between your holster and your undershorts. Most of the weapon goes inside your pants, so if your cover garment comes up, it has to rise over your belt to give you away. Again if you're a bigger guy, use can be problematic. I am, and have to reholster by feel, but then, as a bigger guy everything can be problematic in a world designed for the average guy.
If I were going to something like IDPA(International Defensive Pistol Association or something similar- think of it as a bowling league for pistol shooters) and everyone was going to know I was carrying for the event, I'd use a Pancake. For carrying around town where concealed means concealed, I'll use an IWB.
As far as caliber... 9mm isn't bad. I laugh at the jokes like "Why do I carry a .45? Because they don't make a .46!" but I realize they're just that. A joke. Good-natured trashtalking between friends. 9mm isn't my first choice, especially given most LEO's seem to have switched to .40 or even back to .45. Some of the best advice I've seen is find out what your local PD carries and carry the same thing. Weapon and ammunition.
Don't focus on the cheap ammo for practice. Glock and 1911 frames have ample available conversion kits to fire 22LR ammunition for practice. So pick one of those up, do most of your practice with that, and run a box of same grain/weight full size ammo every so often to keep the feel. Beyond that, I can get 100 round value packs at Walmart for my .45 at about $30 per 100. A box of 50 at the LGS/Range combo is ~21-26 depending on brand- but he's got a captive audience if you rent his guns you use his ammo. Cabelas will sell 50 round boxes for 18-19 if you watch for the sales. .40 ammo is about the same as .45 price wise. 9mm is probably half the cost, and almost always in stock. I usually end up doing tours of the half dozen walmarts going either north or south on a Cabelas trip for other stuff, and clean out any of the 100 round packs I find on the way. So like everything else: (relatively) cheap, fast/readily availabe, or good, pick two.
And finally in my long winded response- The questions you haven't asked that may provide a leg up in your process.
I don't know where you live but:
Get your Concealed permit/license/(local-nomenclature here) before you get your pistol. In most places that will remove the waiting period before you can take your new purchase home meaning you pick up your asset the same day you lose your captial. I don't know about you, but even in a place that's been there for years, I hate giving them money and having to go back and pick up my item days later. Even if it doesn't remove the waiting list, it will smooth the process. Usually you go through the process of the background check to get your CPL, and it's like getting an approval, so they only have to check from that CPL issuance on... plus it's yet another id number they can use to differentiate you from every other John Smith out there.
If you can't get a 22 conversion kit for your pistol, get a 22 pistol. Much much easier to learn on a big frame automatic with 22LR ammo. You won't be afraid of the recoil, you can fire 11 times for every one time on your big boy ammo. Learn your sight picture and trigger pull mechanics that way, then get used to the recoil of centerfire pistols. I wish I would have. If I could do it over, I would have bought a 1911-22 and my 1911 at the same time, and left the 1911 in it's box until at least my third or fourth trip to the range.