I wouldn't base your handgun on the round you "want" to fire. I would base it on how you want to use it.
1. The smaller the round, the lighter the gun can be without huge recoil and the added bonus of having more rounds in the magazine to shoot....thus, the smaller the round, the better to carry my deary. This is why 9mm and .380 are great rounds for concealed carry.
2. .45 calibur rounds are typically safer to shoot indoors because they typically *break up* and fragment due to a lower muzzle velocity. What this means, if you shoot at an intruder in your home and miss, the round will be less likely to go through multiple walls. This is important if you want to protect your family without killing them.
I have a XD9 Subcompact from Springfield Armory. I really like it, but it has no thumb safety. It's a perfect size for concealed carry, but is small in my hand without the extended, 16 round magazine.
If you want a .40, I suggest shopping around for a beginner gun before you invest $900, but if you feel comfortable paying that and really like the handgun, do it. Sig makes excellent firearms and they have very smooth consistent action.
If you're on a budget and want to buy a few guns, look at the Stoeger Cougar, the Taurus 24/7, and just about anything made by Ruger. Those tend to be in the middle price range and are quality firearms. Taurus 24/7 are double action and made in the old Brazilian Baretta plant. (there are some Taurus haters out there)
Umm...also check out American Tactical Imports 1911 in .45. I've seen those go for $399 for a 1911 with tighter action than a Springfield 1911. Very well built and amazing value for the money.