My advice on a first hangun is to:
1) Buy a cheaper, no frills, medium sized gun, from a good manufacturer (S&W, Taurus, Ruger). I would also stay with 9mm since they are the cheaper to shoot. (or buy a used handgun).
2) Shoot it alot over a few weeks/months, until you become more proficient, and can figure out what you like and don't like about it, maybe rent some others too.
3) Read about Actions: Single Action, Single Action/Double Action, Double Action Only. Youtube has some good videos.
4) Try lightweight Poly guns and also heavier traditional metal guns.
5) Remember most CCW handguns are for emergencies. They are not fun to shoot.
Basically I disagree with many of the earlier posts telling you to just go rent a buncha guns. If you don't have alot of trigger time on any handgun, I don't think you'll be able to distinguish which one you like best.
If it turns out you don't like the gun you bought in step 1, you can sell it later and probably get most of your money back.
Being new to guns myself, these are some tips I used to start learning what I was looking for and wasn't. Although renting different guns can help lead you in a specific direction, that's not always the best solution. For me, I have now purchased 2 pistols that have the potential to be my concealed. I take them out to the range once or twice a week to get used to them, and decide which one I like better. In the end, I may sell both of them to try others. Then again, maybe not. I am really enjoying the 9mm XD I just purchased.
Range time I believe is very important to anyone first getting into purchasing a weapon. Home defense was one of the reasons I purchased a pistol, but keeping it loaded and chambered at home scared me at first. I took a couple of classes (I'd certainly recommend taking more than just the CCW class), and have put about 400 rounds through each gun. I'm now much more comfortable and leave one loaded with protection rounds at home. By shooting more, it makes me more comfortable handling a loaded weapon, and when my CCW permit comes in, I should be comfortable enough to carry one.
Owning a gun with the intent to protect yourself or family when the time comes is a HUGE responsibility. I've taken 2 classes and intend to take more. I feel its my responsibility to learn how to handle it properly in a tough situation to make good decisions. One of the instructors told me that no one ever hears of CCW holders using their guns properly on the news, but they most certainly will hear about it if you do something stupid. To me, having a gun that fits my hand and what I intend to use it for is secondary to learning how to use it properly in the first place. Classes are the way to learn, as well as asking questions here.
I'm not going to get into what type gun, or caliber to buy as I really believe this is a personal preference at the end. Others have made good suggestions here. For me, it seems that I will likely carry my 9mm XD as opposed to my .40 cal Glock, but they are both fun to shoot at the range.