I have to weigh in with "STEVEBC" in support of the .22 angle. I used to think that .22s were kind of lame and wimpy. Now I have a S&W Stainless Target semi-auto pistol, which is a lot of fun to shoot, provides a pretty satisfying kick (all things considered) and good noise - and it still looks like a gun, not weird like some .22 pistols do (in my opinion, of course).
I also have a couple of .45s. I like to shoot both calibres. The .22 allows me to sharpen up on my skills and the ammo is so cheap it may as well be free. For the price of 50 9mm bullets, you can basically buy 500 .22s (that's TEN TIMES as much). Even with commercial reloads, it still costs me about $16 per 50 .45s. (I keep talking about getting into reloading but it never seems to happen - sheeesh!!)
I'm a pretty big guy, and for me, shooting 9mm is not much different that shooting .22 - certainly not ten times better, or bigger.
If you're only going to have one gun, or stick to one caliber, the 9mm makes some sense for sure, but if you want to fan out a bit and get your feet wet, so to speak, you can have a .22 and then something much bigger.
It all depends on how much $ you want to spend, and keep spending; what your realisitc shooting patterns will be (I've always overestimated mine); and what guns/calibers you like to shoot. If possible, try out as many as you can, because sometimes certain guns/calibres look good on paper, but then they don't agree with you in practice.
Again, don't necessarily dismiss the .22 without trying them out and research the cost of ammo for the various calibres to see what this will actually cost you each month/year.
I shoot .45, and it costs more, but, to me, it doesn't more so much more as to make me switch down to a smaller/cheaper calibre. I did however recently sell my prized .44 Magnum because I found the costs of shooting it were just getting out of hand for what it was.
In any event, I have always stuck to the most popular calibres to ensure best possible ammo price and availability. I wouldn't want to stray from .45 ACP, .44 Magnum, .357 Magnum, 9mm, .22LR, .40 S&W. For some of the best ammo deals, including mil surp, it seems that .45 and 9mm are some of the biggest stars.
I hope this helps you.