You'll get so many varied opinions. I shoot 9 and .45. People will give you so many different opinions, and a ton of stuff will be anecdotal. Even the stuff backed by facts has been refuted in some instances. I would say to pick the caliber you shoot the best. The recoil of a 9 and a .45 for example are different because one is high pressure ammo and exits the barrel at a much higher velocity (the 9mm) than the other, which is low pressure and much slower to leave the barrel (the .45). It used to be that the 9mm was laughed at because of a shooting in the Philippines if I'm not mistaken, but that was decades ago. Any quality self defense round these days will do the job provided you do yours.
If you are tight on funds, I'd definitely go with 9mm. It's the cheapest of the main pistol calibers people usually consider. It's also relatively easy to shoot. 45 makes a bigger hole, is slower, and costs a lot more. So unless you reload, it might not be cost effective. .40 is my favorite but I don't have any firearms in .40. You get more capacity out of the .40 than the .45, a bit more oomph than the 9mm, and a bit faster velocity than the .45, but the recoil is off-putting for lots of people. I may be weird, but even though I shoot .45 mostly these days, I prefer reloading 185 grain rounds that approach 1000 fps. 230 grainers that go around 800 FPS is just, well, slow for me. Then again I've always been into the physics side of things, and it's something I specialize in even in my field. I never shoot +P or +P+ rounds since I never practice with the stuff.
If price is no concern, just go to a range and rent out diff calibers to get kind of a feel for what they handle like. Otherwise, you'll kinda have to base your decisions from the input you get here or from talking to folks in the LGS or range.