Hey cool hand Luke (assuming that's your handle?

), great question...and one that's been asked enough around here that you'll find lots of info./opinions if you dig even a little. Since I torture myself with these questions every day, I'm more than happy to chime-in.
First-off, if you love rimfires as much as I do, you won't be happy until you have at least one of each. Period.

My collection is currently lacking anything .17, but I have multiple .22s and one .22WMR. What that doesn't tell you is that I've owned 2 HMRs, a Savage 93 and a CZ452 Varmint, and got rid of them both. Both great shooters, HMR is a fun caliber to shoot, but it just wasn't versatile enough for varmint hunting here in southern Ontario. In the land of gophers (and this from my Albertan friends) the HMR reigns supreme for dispatching them at fairly long distances. I've been told that plenty of gophers have met their maker out to 200-225 yards, but most shots taken were 150 or less. I've never shot any gopher, but I'm also told a .22lr will do a dandy job on them out to 100 yards, so a faster-moving .22WMR ought to be a step-up from there.
My opinion~you have to look at gun purchases from all angles...unless you have deeper pockets than I do. How much will you shoot? Will you be hunting? What will you be hunting? What range will you be hunting? and so on. The way I think of it is this~.22lr (about $6 per 50) if you're mostly target shooting, or hunting rabbit (or smaller) sized game out to about 75 yards. .22WMR (about $13 for 50) if you want that range extended to about 125 yards, and have more power to boot, .17HMR (about $15-$16 per 50) for a flatter trajectory, good power out to about 150-175 yards but on .22lr-sized game. Why? I've seen good HMR shots on groundhogs result in them still making it back to their holes, but I spent an entire summer hunting them last year with a .22WMR and only had that happen once. Plant one with a .22WMR and it's down, you can see/hear the impact too...a real smack-down. Granted, these animals get up to about 13+ lbs., so allot more heft than the biggest gopher, but you get the idea.
Opinions will vary on all of what I just typed, but that's my opinion having had allot of trigger time with all 3. I'm a real rimfire fan and always laughed-off the "just get a .223 and be done with it" talk, but consider this~tonight, I saw some Hornady .17 gr. V-Max HMR for $16 a box of 50 ($.32 a round) and some Federal 55gr. .223 for $10.99 a box of 20 ($.55 a round) Seems to me the price of rimfire ammo is really climbing, and not offering the value it once did. YES, you can buy bulk-boxes of .22lr that offer unbelievable value..but I'm trying to sell the guy on a .22WMR!
I'll leave-off with a photo of my .22WMR and a big hog it put down last summer, one of my favorite pics. I think .22WMR ammo is a nice compromise between .22lr and .17HMR, and the caliber is more versatile if hunting is on the horizon for you. I will say though, I never found my HMRs to have the kind of trouble in the wind someone else mentioned in this thread.
Good luck with whatever you choose. It's not a matter of picking the right gun. Like I said, you'll probably own them all, so it's simply a matter of what you buy first!