Sig P-229 .357 Sig is my favorite but another strong consideration in my book would be the H&K USP 45 - Only with High Capacity Magazines if legal in your state.
I have many pistols and luv the .357 Sig Caliber. For a first pistol owner I don't recommend a Glock but rather something with all the bells and whistles including a positive safety.
You might want to consider a 1911 - 45 ACP if in your budget, not a high capacity but sure a great piece to learn to shoot pistols with and will last you forever.
Nothing wrong with the .40 caliber though I am not a fan of the 9mm unless looking for something small and high capacity.