It may have been said, not reading through the different retarded, (and few informative) posts.
Basically, if you have to ask this question, you have not done the proper research and do not have the training.
First, you cite your reason to purchase one is for self defense. While I support your desire to protect yourself, and your right to carry a weapon, please understand that 98% of the time you can use your interpersonal negotiation skills to get you out of ALMOST ANY situation, or at the very least de-escalate a situation enough for you to make an exit.
So many people have the attitude, "I got mugged, I need a gun" or something similar and get into way, way too much trouble with illegal posession, lack of training or proper mindset for carrying a deadly weapon.
Try to resist the urge to go to your local gun shop or outdoor store and picking up the first black and polymer pistol you see.
My suggestions:
1: Go to a handgun safety course. More than likely you will not have to own a weapon prior to taking it, (some states will make you take one BEFORE you own one..)
2: Go to a local gun club/range. Look around, find a place that will rent you a few different weapons and calibers, buy some ammo, and find something that you feel you can shoot comfortably, are not 'scared' of, and feels 'right'. You will know what feels "right". Don't let anyone tell you what's comfortable and fits you.
3: RESEARCH RESEARCH RESEARCH. Read. AT is NOT a gun forum and you're more than likely going to get some hair-brained airsoft kiddie or some gangster who has absolutely no idea what the hell they're talking about try to give you advice<edit, see below edit>. Pick up some gun magazines, ask some folks at the range, (usually older gentlemen are a decent source of knowledge)
4: Chose a concealable handgun, and customize it to YOUR liking. Purchase said handgun. Practice, get some range time. Go over failure drills with your new weapon. GET A FEEL FOR IT. You need to be comfortable, and the weapon needs to feel natural in your hand. I'd reccomend a range every weekend with ~100 rounds if you can afford it. Check online for customized grips, backstraps, and holsters that will fit and make it comfortable for you.
5: Enroll yourself in a Concealed Carry certification course. Even if your state does not require the course, TAKE IT. Chances are you will learn a lot, and hopefully you will get a good instructor that will help you get into the proper mindset of owning, carrying, and operating your weapon to you're maximum capacity.
6: Go to the range some more.
7: More range time. By now you should be able to handle weapon malfunctions without even looking at the weapon. Close, quick defensive draws and good shooting form and time.
PLEASE DO NOT skip the courses. The fact that you're asking this question here means you need them. I'm not trying to insult you, trying to make you a responsible weapon owner. Consider membership to your local gun/hunting club. NRA is fine to if you're into that sort of thing.
I have to go to work, if you need help finding some resources, please PM. Do not take owning a deadly weapon lightly. The courts will not go any easier on you if you say, "I didn't know" if you have to use it and screw shit up.