1) Go shooting with friends who have lots of guns, shoot lots of guns, decide which gun and caliber fits your hand the best and you can shoot the most accurately and quickly
2) Go to a range that has pistols for rent, shoot the guns you are interested in that your friends didn't have and decide which gun and caliber fits your hand the best and you can shoot the most accurately and quickly
3) Go to a gun store with everything else and handle some more guns to see what you might like
A handgun is a very personal choice, there is no one-size-fits-all.
I very much agree (*with spengo's post)if possible for you. People's frame and hand size differences alone can be enough to make one gun more personal over another. And how and where you decide you want to carry too. Sometimes helpful to be able to weed guns out if you know certain standards that are important to you directly (i.e. not bigger/smaller than this frame size, or price range, or steel vs polymer etc). Lot of good guns out there and hard to choose.
One suggestion for a pretty good price would be the Kahr CW40. Pretty small & light, really easy to conceal. I just sold my 9mm version (CW9). Worked flawlessly after the 1st 50-ish rounds; the manufacturer recommends a 200 round break-in period in any case. Liked it a lot. Friends have had the .40 version & have been happy with 'em. Made in America, but some people will mention that the company is owned by a son of Sun Young Moon... anyway... Let 'em rip y'all!