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I would advise going to a range, taking a class, and first shooting (not buying) a .22. In the class you'll probably get the opportunity to also shoot other calibers. Decide what you like to shoot and go from there. Most ranges have rentals, so that is a cheap way to figure out what you like and don't like. As others have said, .22 is a great way to learn, but it also is like a popgun next to even a 9mm. If you're ok with that, then buying a .22 as a first gun makes sense. But it you are *not* ok with that (ie you are bored, feels like a toy, etc...anything that will make it so you aren't excited to shoot), then don't buy a .22, but instead start renting other makes and calibers. I like 9mm becuase the ammo is cheapest of the centerfire guns, but in bulk .40S&W isn't that much more.
I love my Sigs. I shot Glocks, Rugers, H&K, S&W and Colts before I bought the Sigs. Life is too short for cheap guns...unless you *really* like 'em...
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