You might want to consider a pistol that allows you to change calibers. Many Sigs, CZ (if you can find the kits), CZ clones (EAA for example). Grab-a-gun has an EAA with 45/.22lr kits for a good price.
One good value is to buy a Sig P226 .22LR (about $500) then buy a 9mm kit ($300). It ends up being much cheaper than buying the Sig as a 9mm plus a 22 kit. If you're not happy with the 9mm kit, you can up the caliber and sell the kit. Many other Sig models can be similarly tweaked. I believe a few other large brands recently have come out with similarly switchable caliber pistols.
In most cases (though there are exceptions), changing calibers is no more complicated than what you do when you clean your gun -- just remove the slide, recoil mechanism, barrel and replace with kit. You can go back and forth as much as you like.
If you want to shoot a lot, consider ammo prices (standard target):
.22 = 3-4 cents per round
9mm = 18-25 cents per round
45 = 35-50 cents per round
As for which pistol, it all depends on what works for your hand and your needs. Like others suggested, go to a range and rent some guns. There are also some ranges/stores around that will give you free range time & rentals if you are there to test guns before purchase... That's what I did with my first pistol. I must have shot 15 pistols over 3 weeks before deciding which to buy.