Depends on what I am doing.
The 9mm is a good work-caliber. If you use a quality round, plenty of stopping power. There is plenty of 115 grain FMJ out there at resonable prices compared to other calibers, for your practice sessions. A doublestack magazine has plenty of cartridges in it. With a 9mm handgun and an MP-5 submachine gun you have plenty of firepower yet only one cartridge to deal with. Excellent combination. There are many models in 9mm that are very effective pistols. Everything from a Browning to a Glock.
For your pocket, the little Ruger LCP or the Keltec in .380 is a very handy insurance policy. You wont be shooting cars off of the road with a .380, but you can certainly defend yourself with it in an emergency. It is small and light and easy to conceal and easy to deploy. Works fine for those days when you are out running errands and need to be able to defend yourself.
If you dont like autos, there is much to be said for the 2-inch barrell revolvers in .38 or .357. That thing is safe, durable, accurate enough, and there is plenty of firepower in it. You dont have to worry about magazine springs, stovepipe jams, etc, etc. Very reliable and very deadly.
This spectrum of weapons is probably among the most popular out there.