As someone said, the 40 actually kicks harder than either the 45 or the 9mm. Actually, I think it's more "different" than harder. 40 tends to be a sharp and snappy recoil impulse - the 45 ACP is more a push.
In any case, I'd start with a 9mm. Easy to shoot, lot's of ammo out there. Some inexpensive ammo is quite good. Back when 9mm aluminum cased Blazer was really cheap, I bought quite a bit of it. Over the years I've shot many thousands of rounds of it -- never had any sort of problem. Always goes BANG, cleaner than WWB, never had a hard primer issue the way I did with some European Ammo.
9mm -- if you get to like shooting a handgun, you will tend to shoot more than 50 rounds a week. Doing that with a 40 or 45 can become quite expensive.
Also, 9mm self defense rounds seem to be quite efficient. Lots of choices.