I'll second the .22 thought. Ammo is insanely cheap, they're fun and definitely teach you proper gun handling skills and trigger technique. I shot probably 5-6 bricks through my Ruger when I first got it, then decided it was time for more training and a CC license.
.45 and 9mm is great and all, but sure gets $$$ when you've got the firearms itch and want to blow through 500 rounds each session.