Generally, the smart money is on starting with a .22. Pleasant to shoot, relatively cheap, even now (assuming you can find ammo), not as likely to help create bad habits. That MAY vary by what you can afford, your ability to get good training, etc. But ...
If you are going to get ONE pistol, there is a modest argument for what bikendan advocates, a .40, but ONLY for the reason he suggests. The ability to convert calibers easily in one platform MIGHT be worthwhile if you stock up on ammo and are willing to put up with the logistical pain in the backside. The problem that presents is the cost of 3 different calibers of both practice and carry ammo, and completely function testing each combination with 500 rounds of carry ammo. For that kind of money you could buy 2 9m M&Ps and a metric butt ton of ammo. .357Sig ammo, especially carry ammo, will likely make your eyes water when you price it.
Performance: There is no significant difference in performance among the major service ammo calibers with ammo that meets the standard. I've posted a link to the best advice out there before, but it is
Service Caliber Handgun Duty and Self-Defense Ammo.Therefore, the answer is to buy what is cheap and plentiful as long as it is of good quality. Typically, 9mm training and duty ammo will be much less expensive than any other caliber. It will also be easier to shoot well.
Buying ammo: Case lots of quality ammo. Period. You can find some that it is inexpensive, but don't go CHEAP. Buy once, cry once. I rarely buy less 1K rounds at a time of ANY round, because the volume savings are pretty good. If you buy junk, you will be frustrated eventually, although you might get better at malfunction drills.
Training: not optional. You have a great advantage from your location. A very good school (
Home - Hardwired Tactical Shooting) run by some very well qualified experts with real BTDTs in training, actual OIS encounters, and investigations of shootings is right in the area. One of those men (and maybe both) is a member here. PM "nyeti" for info on what you can do to start and get into their classes. Let me put it this way: it's 2000 miles one way for me to their location, and I plan to attend classes there as I get time and money set aside from my new job.
The pistol itself: The M&P is a good platform, and I would not be bothered at all carrying one. I'm old and already invested in other platforms, so I stick with what I have. If I was carrying a .40 for some reason, I don't see anything that is better than an M&P. It may not be the best choice for you; the Glock, an H&K, or other quality platform may end up working better for you. Don't be afraid to try more platforms before you buy. When it comes to carry: good holsters and mag pouches are important; a good belt is vital.