I'd go with the 9mm for the single reason of ammo cost.
Compared to .40 and .357SIG, 9mm are pretty cheap.
It is the weakest of the three, however...so if you are considering it for anything more than target shooting with your buddys, I'd go for the .40 or .357Sig.
You get nearly the same muzzle velocity off of a .357Sig that you do out of a .357Mag. Good engineering there...but its a rather new round and might be a little hard to find a good supply.
.40 is probably the best middle ground...best of both in cost and power.
And honsetly, if you haven't owned a gun or shot much before, I'd start with a .22 target pistol.
Avoid .380s, they are not very accurate and very much so avoid .32 Colts becuase they are the exact opposite of accurate.