As many other posters have chimed in, DO NOT GET DISCOURAGED!!! I live in Chicago, not the pillar of gun rights, and I can't own everything I want but I do just fine with what I can. There are many ways to purchase what you want through private sales (is a permit required for private transfers in NY?) and by knowing all the ins and outs of NY gun law. While there are some great experiences posted for you to read, you should also consult the source of your queries, New York's published gun laws. These will probably be online. Read them in entirety. This is a natural part of your research phase into gun owning. Concealed carry can come at a later time. Get your butt on a range with a rented gun (semi or wheel, doesn't matter) and use everything you've read in real life. I would never recommend owning a gun before first having fired a few because you will have NO IDEA what you're getting yourself into. We can all tell you to get a .357 magnum, but I can tell you in my experience that although I own one myself, it is somewhat unpleasant to shoot anything but .38s out of it. I am not extremely recoil sensitive and love my .30 caliber rifles and 12 gauge shotguns, but I'm just not keen on what feels like a grenade going off in my hand and gas blowback. This is not everyone's experience with .357s, but wholly mine.
I didn't come from a gun owning family and pursued the hobby on my own time. I was very nervous at first, because I believed the hype surrounding gun control in Chicago without ever really reading the law. I did my research, shot a few rented guns, and a few years later bought my first .40 caliber Beretta (a fine gun). It was a double stack (I exclusively own and shoot single stack with it comes to semis) and I would never purchase a double stacked pistol again (perfect in a high capacity ban area). I can't stress enough; Don't buy blind. Do your homework.
"Shut up, crime!"