No one here can tell you what is going to feel right in your hand.
If you think you want an affordable 9mm Sig, give the P6 a try. That is the German police version of the Sig Sauer 225. They used to go for $350, and then a large number were imported driving the price down to $300. I believe the price has come back up since then, but I haven't followed it.
If you are looking for a defense gun, before you buy anything, take safety courses and shooting lessons, if you haven't already.
I am looking for something along the lines of a 9MM or a Sig, what advise do you guys have?
I want something that is not going to cost a fortune but actually works and works well, something I can also play with at the range.
My advice would be to go to a range and rent as many 9mm's as you can find, and not only Sigs either.
Once you know what type of action you want, what type of frame material you want, and what size of handgun you want, then come back here and we can narrow the possibilities from several hundred down to a more manageable group.
I love my S&W M&P 9c. It's more accurate than I am right now! Only had 2 misfires in the first 200 rounds. I've fired 500 thru it now, and no other problems. I just wish it came with the finger extension on both magazines.
If the O.P. was talking about a 357 Sig I would not think that would be the best round to cut your teeth on. Cost aside it's just a lot more to hold onto than a 9mm or even a 40. ammo cost I don't think is a good deal breaker. Some people shoot some rounds better than others. and that better than other round isn't always a 9mm.
You'll want to get your hands on as many as you can. See what feels best to you. Then look at a round you wish to start out with. 9mm is a good all around round. It works well for protection and is not so expensive when "playing at the range."
Without knowing your budget limit, it's somewhat hard to say. No doubt a Sig, however, will deplete the wallet faster than many other fine choices.
Assuming you don't already have a handgun (or have had very limited exposure to one), I'd say a compact 9mm is the way to go. Subcompacts will feel very awkward in unpracticed hands and full size pistols are quite a challenge to keep concealed (at least for me).
The Glock 19 and the CZ P-01 come to mind. To me, both of these are sized "just right."