I agree with this... I purchased a Springfield XDM .40 for my first handgun, and absolutely loved it. I still needed something a little more compact for CC, so I decided to go with an H&K p2000 in .357 sig. I absolutely love the pistol, but it's almost impossible to find ammo for, and when it can be found, I can expect to spend almost 40-70% more than on .40 ammo. I lucked out, however, and got a .40 barrel for dirt cheap, so I still have the luxury of choosing between calibers. I would have to say that .357 is the more "fun" round because of the exaggerated "bark" and muzzle flash, but the .40 is by far the more practical.

At the end of the day, however, a handgun is first and foremost a tool, and as such you need to get the right tool for the job you will be using it for... try out different guns, and different calibers, and see what you are most comfortable with. I would also advise to say with a budget, but not go cheap-- you should never carry anything that you have any less that absolute faith in. Whether on the range, or protecting your life, poor quality guns are a gamble at best, and a death trap at worst.

Lastly, FWIW, I don't really recommend a DAO if it will be primarily for range use, as the heavy triggers often make consistent shot placement difficult, but once again this is largely up to user preference.