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The others have given excellent advice. I think renting a few guns at the range is a great idea. I personally carry a Ruger 9mm, a Ruger 38, or my new favorite a Bersa Thunder Plus 380. It all depends on where I'm going or what I'm doing. I'm confident in the stopping power of the 380, but many aren't. (I was in law enforcement for many years and consider myself a decent shot and handle pressure well. Hope it's never tested) You may find yourself owning more than one weapon and becoming comfortable shooting many of them. If starting out with the .22 is what builds your confidence than by all means start there. You may find that some of the larger guns are easier to handle. My 380 and 9 are a pleasure to shoot at the range. My little 38 is hard on the hands, but easy to conceal!

Good luck.