I have recently begun thinking about carrying a BUG, at least some of the time. How do you plan to carry yours? IWB weak side, pocket carry, ankle or some kind of off body carry? All provide access to a 2nd gun should your primary get lost, stop working, or run out of ammo. All have their own unique advantages. IWB weak side is good if your strong hand is out of commission (fending off an attack, injured or for whatever reason). Ankle carry provides easy access to your gun while sitting and/or driving. Pocket carry lets you put your hand on the gun without drawing attention if you think a situation is about to unfold but it hasn't really presented itself yet. Off body options like the various Maxpedition bags allow a full sized or near full sized gun if you want it. Of course, they all also have their own disadvantages (size of gun, ease of access, off body isn't fully under 100% control 100% of the time, etc.). Personally, I'm leaning towards all of them depending upon the situation/my choice of the day (I figure I want my primary to always be in the same place for easy muscle memory, but for some reason I don't feel that is as urgent for a BUG).
Assuming pocket or ankle (probably the most common choices), you probably want to go small. Be careful that whatever you get has usable sights (I am going to have to take a loss when I trade my LCP, and I'm definitely getting rid of it since the sights are nearly unusable). If you get a small 9mm, try to borrow or rent one to be sure that the one you want to buy isn't too bad on recoil (recoil isn't just comfort at the range, and you hear people say you won't feel it if you ever really need it, but high recoil can also mean slower follow up shots which might matter quite a bit). I have found my SIG P290RS and a Kahr PM9 I've shot in the past to be pretty decently comfortable for such small pistols, and my S&W 442 and my Kel-tec Pf-9 are quite uncomfortable, especially when practicing with defensive loads. If you go with a snub, my suggestion is to go with steel if you can (if your BUG location requires something lighter and you go alloy or polymer, be sure to use a lower recoil ammo), and if you do go with a .357mag load it with .38spl.
There are quite a few nice .38spl and .357mag snubs, small pocket .380s and micro-9mms so I won't make a specific recommendation. I will mention my choices. I plan to trade my LCP due to the poor sights, I want either a Colt Mustang, SIG P238 or a Remington RM380 (though from what I read, the RM380's sights may only be marginally better). In 9mm, again, I don't like my Pf-9, but my SIG P290RS is terrific for a small 9mm, and if I went lighter I'd go with the Kahr PM9. If the Shield was available at current prices when I got my P290, I probably would have bought the Shield (both are good guns). I have a S&W442 that I may keep, but if I do I will only load it with lower recoil rounds (lower grain weight or possibly wadcutters, no +P), and see myself carrying my Taurus 85CH more often (when I regularly carried snubs, I usually carried both). I'd like to get a Kimber K6 to take on the the snub role, I like the extra round (6 v. the J-frame's 5) and the extra weight should help with recoil/quicker follow up shots.
One option you might want to consider, since your primary is already a smallish compact gun (or larger subcompact), why not carry two of the same gun? It may be too big for pocket carry in most pants, but it would work well IWB/weak side or in an ankle holster and would work in a jacket pocket in spring, fall and winter (I have a decade old Taurus PT140 Millennium Pro so I know the size pretty well). After shooting it a bit at the range, and finally carrying it for the first time when I went to VA today, I really like my S&W M&P40c for carry. I'm thinking of doing that myself when I don't carry the 2nd gun in a pocket and picking up a 2nd M&P40c.