I don't worry so much about the caliber as much as the gun itself, the features, size (something on the compact end that can be CC well), feel in the hand and how well it shoots and I shoot it. Based on that I would tend towards 9mm or 380 ACP. I don't have anything against a caliber per se, 22 LR would be great based on the cost but can be too unreliable in a semiauto, for 45 ACP there just aren't any guns that fit what I want, 38 special gives you revolvers with not enough capacity. Other calibers just don't interest me and the cost can be prohibitive to practice with, especially if compared to 9mm which to me is just fine to begin with.
9mm also gives you a wider selection of guns (although maybe not so much these days), from subcompacts to full-size so I can buy one type of ammo that will fit the bill for more of what I shoot.