I broke in during the days when "real cops" carried a .357 mag. and the lessor ones carried a .38. There were two manufacturers, Smith and Colt, with S & W by far in the majority. That said, having broken in with the magnum, the recoil from any automatic is pretty tame. My experience as an instructor leaders me to believe the problem most people have with recoil is a matter of mindset and training. With proper grip and grips and technique, almost anybody can handle almost any handgun, with the exception of some extremes. My wife weighed about 100 pounds soaking wet, but she could handle the full power magnums. Best investment might be a good, I repeat, good, shooting course.
Back in the day I had many handguns in all calibers. Today the only working handgun I own is a Smith & Wesson 4013 just the way it came from the factory. I opted for .40 deliberately: The .40 and .357 Sig seem to come closest to the performance I wanted, which was really my old .357. I went to an automatic not because I believe it is superior in any way, but because I know I can't afford to shoot as much as I did, therefore I'm not as confident in my shot placement as I was. Also, the price of compact revolvers today is just prohibitive and what I wanted was a Model 65 with a three inch barrel and they are just hard to come by. It's also getting toughter to find leather and even ammunition without paying a premium price.
I went back through some old notes and records when I moved. Interestingly, most of the homicides I worked involved .22s. Those guys were just as dead as any of the others. It was all about shot placement. I would not volunteer to carry a defensive firearm in .22, but we send people into harms way every day with .223 and that's really just a souped up .22. That said, stick with .38/9mm or larger. Consider buying used if you're buying from a good, knowledgable dealer. Don't buy online until you have a lot more experience.
That advice to go to a range and try several different weapons is gold. Also, try some different loads. Then sit down and draw up a chart for each gun you are considering and the pros and cons of both the weapon and the caliber. Rank them from one to five or one to ten. Before long you'll find youself shading your numbers in favor of one caliber and one gun. That should probably be your choice, unless you can really justify soemthing else to yourself. That it's not the most popular or the gun writers don't tote it as the best thing short of an atomic bomb should not be a concern, but don't go too much upstream. You're not a salmon.
As to the cost of the guns, there are some real pieces of c-----p out there. Stay away from them. Purchase your first handgun from one of the major manufacturers. They have enough choices to keep everybody confused. Every gun will have its drawbacks. I don't like the grips on automatics or the long trigger pull on the 3rd generation Smiths, but what am I carrying?
Also, John Browning gave some advice: A handgun usually works best in the caliber it was designed for. Do your homework. There are no shortcuts unless you are satisfied being a danger to yourself and everybody around you. When I was training, I explained to students that I feel free to shoot anyone who points a gun at me, even on the range. Learn muzzle discipline. Obey the rules. You want a simple explanation? Do the reading for yourself. I'm not willing to bet my life on what a bunch of faceless guys say online, but if you are, that's okay. Just include me as a beneficiary on your life insurance policy.
Remember, all gunnies have their opinions. Usually, we voice them pretty strongly, but then most of us have strong opinions because we've bet our lives on those guns and our ability to handle them. That tends to make a man dig in his heels. Best advice, for a first gun, I'd still recommend a good K-frame revolver loaded with hot .38s. Not much to go wrong with it and it'll still get you through the night. They hold their value and when you've mastered the basics, trade it. You say revolvers aren't sexy anymore? Well, just what are you planning to do with that thing anyway? No, don't answer that.
Wild Bill Hickok carried a Colt Navy in .36 caliber. Today, that load is about the same as a .380 and we all agree its a marginal round for defensive purposes. But I don't recall Ol' Bill complaining and he had other options too.
Oh, about the "magic bullet." I've been searching for it for more than 30 years. All I can say is that it better be the load I'm carrying when I need it. Power's fine, but accuracy is final. Like the man said, Gun control is a good trigger finger and hitting what you aim at.