First "serious" gun and you don't already have a preference.... Go 9MM. I'd stay away from 45GAP and 357SIG until you have a very good reason to go that route (e.g. your employer is supplying your ammo).
I have a few 9MM's, including my CCW. 9MM is the least expensive center-fire range ammo and still has plenty of umph.
.40 S&W isn't going anywhere, but it is slightly more expensive, with a bit more recoil and fewer rounds per mag. That being said, I love shooting my Glock 35, especially on poppers and dueling trees.
.45 ACP is the grand daddy, but it is more expensive with an even lower round count than .40 S&W. I'd save .45 ACP for when you get the 1911 itch.