I was going to say, before reading this post, that my recommendation is for the right kind of research - range time. A lot of indoor ranges will allow you to rent various handguns to try out on the range. Cypress Creek Indoor Range, here in Florence, Alabama, often has rental specials with caliber nights or manufacturer nights and such that can make it cheaper to test out multiple weapons.
1) It doesn't matter how compact a weapon may be nor how comfortable to concealed carry it may be when it comes to self-defense if you can't be certain it's your most reliable weapon for consistently putting shots on target. How well a weapon fits your hand can have a much bigger impact on accuracy than many people realize. Sure, you can overcome some fit drawbacks with range-time but it's generally best to start out with the best fit possible.
2) Larger calibers, for self-defense purposes, are largely over-rated. Three well-placed, accurate shots with top-quality, personal-protection ammunition in a smaller caliber will stop an attacker far better than mostly off-target shots in a larger caliber. Basically, you want the largest caliber with which you are able to put your second, third, and fourth shots in a rapid sequence on target.
As for me, I personally carry a Smith & Wesson Shield 9mm and I love it. It's thinner than most 9mm handguns which, for the way I typically carry - 5.11 Holster Undershirt or inside-the-waistband carry - fits my body quite comfortably. Plus, the grip angle fits my palm and longer fingers much better than, for example, a Glock 9mm, allowing me to initially bring the weapon on target more quickly and consistently.
Note: If you're going to practice drawing the weapon and quickly bringing it on target, most ranges - due to safety concerns - won't allow you to draw with a loaded weapon. So, you'll probably have to practice that part with an empty weapon and no magazine. However, you can still get a feel for how quickly and how naturally you can bring it on target.
