They cost about the same and recoil similarly (felt recoil). 9mm major is mostly for competition and like Armourall said needs to be reloaded and not usually commercially available. 45ACP is readily available and if you are just shooting for fun I'd go with 45ACP. 9mm major is also much high pressure than any 45ACP will ever be, so theoretically 9mm will wear out your barrel much faster than 45ACP.
I'm not technically savvy enough to speak to their differing ballistic performance, but 9mm major will definitely shoot more straight at longer distances than 45ACP.