Today was the day where I went to my first Shooting Range. I went with my wife and we both used the Sig P229 9MM. It was great, I was really nervous at first but when I shot a few rounds, It felt great! We both can't wait to go back and try out a few other guns.
Find out if the range offers a basic handgun class - and take it. That's the best advice I can give you. Do your research here as to make, model, caliber, trigger action etc. then rent a bunch of guns so you can experience the recoil of different calibers and the feel of guns with differing actions (SAO, DA/DA, DAO, Safe Action etc.). Buy the one that feels and shoots the best for you.