The .22 definitley is the practical first-choice, easy to learn on, and ammo is dirt cheap, just picked one up myself not too long ago.

That being said, my first handgun was a Beretta 92. Always wanted one and was in all the good action movies growing up. I would be tempted to say buy what you want first, and the .22 handgun will come in time, they're cheap enough to just buy whenever