I'm not familiar with steel challenge, so I can't help you there.
In USPSA you will need 4 mags minimum and in IDPA you need 3 minimum. In IDPA you are limited to 10rds in a mag (+1 when on initial loading of the gun).
IDPA and USPSA have different sets of rules, some are very goofy. USPSA stages generally have more targets, both cardboard and steel. IDPA has much fewer targets and stages are supposed to be more "real life scenario".
Both build skills, try both and see which you like better. The steel challenge seems interesting, but I'd rather shoot IDPA or USPSA.
As for what to shoot. There are different divisions that have different requirements. As for which caliber, 9mm is cheaper and if you don't reload and plan on shooting a lot of matches, cheap is good.
Many say that USPSA is more "gamey" than IDPA, that's not really true. Both are games and IDPA can be just as gamey pending on who's running the show.