My first was .40S&W, I wish I went with 9mm first. The recoil on a 9mm is much more manageable and far more comfortable to shoot. Although .45ACP is a pleasure to shoot, it hurts the pocket if you don't reload. Also note, 9mm is cheaper than .40S&W. Ultimately, your best bet here is to get a chance to fire all calibres in different pistols so you can see the difference between an all steel frame, aluminum frame, polymer frame, etc.
My recommendation start with a nice 9mm, the cheap ammo is great for those early plinking session and any qualification courses you may need to do before you upgrade to your big expensive competition pistol if you ever go that route.
9mm pistols worth a mention: Glock 17, Glock 19, CZ Shadow or any CZ 75 series, Springfield XD, S&W M&P9, Beretta 92, Sig 226, Sig 229, Walther P99, Baby Eagle, Steyr M9, any 1911 with a good track history chambered in 9mm, I mention good track history because 1911s are notorious for not being the best 9mm, you really need to do your research on extractors and springs.
Goodluck!