You're getting good advice in this thread. I'll second the points about 9mm being the likely best compromise caliber in terms of terminal performance, capacity, recoil, etc, and about the absolute NEED for a high quality belt and holster. High quality 9mm JHP rounds (Cor-Bon DPX, Speer Gold Dot, Federal HST, maybe Hornady Critical Duty, though that last one is not as well proven) perform about on par with their .40 and .45 counterparts, and do so with more capacity in the gun and less recoil. A good solid belt and a well designed, well made holster make a world of difference for both comfort and concealability.
As far as what gun to choose goes, everybody's perceived needs are different. I'd start by outlining what's most important to you and go from there. It sounded like concealability was one of your highest priorities. If we take that and add it to 9mm as the caliber of choice, some of the best options that pop out on the other side of the equation are the S&W Shield, the Walther PPS, the Springfield XDS, and the SIG P239. There are certainly lots of others out there, but that'd be a place to start.