[onewhippedpuppy]

I have a Sig P250 subcompact in 9 mm. It's very nice to shoot and relatively easy to conceal, though a bit thick. Good grip angle, but your pinkie will hang off the end. I think they're around $500 new.

Best advice is to go shoot as many as possible, either by renting at the range or going with a buddy. For my first I thought I wanted a Glock until I held one, it was like trying to hold a brick. You'll learn a lot that way. I ended up with a Springfield 1911 which is fantastic to shoot, I find the .45 easier to control than the 9 mm, though it's more expensive all around and big.