Well for a first handgun, your best bet is a .22. (I like the Ruger Mk. IIIs)
Learn how to shoot with a gun that is accurate and that eats cheap ammo. Centerfire pistol ammo costs 8-10X as much as .22.
Then, when you've got the basics down, get a centerfire handgun and learn how to beat the flinch.
I know, it is not macho, and would be one of the last choices for personal defense, but if you want to get started right, that's how it is done.
It can be done with a centerfire handgun, but it is going to be costly. The $500 gun is going to look cheap compared to the amount you'll pay for ammo in the first year of ownership.