Ender,
I recently went through the same process you are embarking on now! There are soooo many options out there it is hard to narrow it down to one!
I can give you advice and my opinion as a result of my personal experience. First, you should probably decide if you want to carry a revolver or a semiauto. I do not know what your experience is with firearms, but I will give you a quick 101 (forgive me if I am over educating you!)
A revolver is usually more limited in the amount of ammo it can hold, and reload time is generally considerably slower, HOWEVER, it will NOT jam! (I can't think of ever hearing of 1 jamming)
A semiautomatic generally has much more ammo capacity, is much easier to reload, is sexier looking. HOWEVER, it DOES have the potential to jam!!!! On most semiauto's there is a break in period of about 200-500 rounds. Also, training with a semiauto, though not required, is a VERY good idea! Being prepared for a self Defense situation, you want to be able to clear a jam quickly without even thinking about it! Muscle memory from training comes into play here!
As far as I am concerned if you are carrying for protection, RELIABILITY is your biggest concern! That being said, get something you can trust! I found many guns that fit me well, but after researching and talking to owners, I quickly concluded that I would not trust it to operate reliably, therefore I would not trust my life with it.
Second, you will want to decide how you want to carry. That my help you decide what you buy. I personally carry IWB (in the waist band).
I personally carry a Bersa Thunder .380 semi auto. It is cheap, reliable, and VERY easy to conceal! I would recommend one in a heartbeat!