What calibers are you comfortable shooting, and which are you proficient when shooting? Those are two separate questions. Lots of people can shoot many calibers, but aren't necessarily proficient with all of them. Different rounds have different recoil characteristics. If you haven't done much shooting, 9mm is pretty tame while still being more than adequate. People will tell you that .22 can and has put many people in the ground. Yes, that may be true, but the round itself is less reliable in terms of going off. You can take a .22, hold it your finger tips with one hand and then twist the bullet with your other hand because of the way the round is constructed. That just means those rounds are more susceptible to moisture around you. A round that doesn't go off means you usually do tap/rack/bang. IMO, I would rather minimize another variable that could cause this, like a round where moisture got into the casing. Centerfire ammo is less susceptible to this.
As far as what to get, you have to decide on the size of the firearm (full size, compact, subcompact), the type of firearm (revolver, autoloader), the materials of the firearm (steel framed, polymer framed, aluminum framed), and the action (da/sa, dao, striker fired).
Whatever you get, almost everyone will tell you to practice, practice, practice, and then practice some more. And when you're not at the range with live fire, practice dry fire with snap caps.
Striker fired guns will be the easiest to master IMO, because they have the same, usually decent 5 pound-ish trigger pull every time. These are your Glocks, XDs, and M&Ps. Of the 3, I'd pick an XD because of the grip safety. DA/SA guns mean you have to master the double action trigger which will be heavier than the single action trigger - two separate trigger pulls.
Having said that, personally, I hate strike fired weapons because the triggers feel clicky. I prefer a mechanical feeling trigger like a da/sa/dao. I also don't think Glocks feel good in my hand, which brings me to another point. It will be to your best interest to find something that feels good and ergonomic in your hand. I also prefer steel framed over polymers. For CCW, polymer will save a lot of weight.
EDIT:
Kimber Solo Carry might be one to consider. 9mm, striker fired.
