I'm not saying there is anything wrong with .40 cal. They all have a different feeling when shooting it, not just felt recoil.
What kind of shooting are you looking to get into? This is also important.
First pistol, I would honestly have to say a Ruger Mark 1,2,3, or a Browning Buckmark.
.22 LR is cheap, cheap, cheap to shoot. It also afords you the funds to learn how to shoot a pistol.
My first pistol I bought was a .45 ACP 1911,. I reget it now because, it costed tons and tons of money - I didn't have at the time in learning how to shoot a pistol correctly.
If you're not into the .22LR thing, I would suggest you go to a gunshop a find a pistol that fits your hand.
Most pistols come in common cals, like Glocks, sigs, 1911's, HK, Ruger, ect..
I'm willing to go to a gunstore to help you look, if you're interested in that idea. Although I suggest against it.