I would start with the .40 because it is the least sensitive to things like seating depth and powder increments. .380 and 9mm are both easier to experience pressure spikes with from powder and seating depth variables. Speer states in their #10 that in testing they found that a load deliberately seated .030" deeper than published minimum experienced pressure spikes of more than double the published estimate going from 28,000 to 62,000.
But regardless of which you decide to start with, some suggestions I have to keep you on a safe track, would be the powder you choose. In this respect, I would go with a slow burning powder because they are less pressure reactive regarding spiking, due to small variations a new reloader may have, and, accidental double charges slipping by unnoticed are virtually impossible because the charge won't fit into the case.
Another thing I would do is start with jacketed bullets. The published data and process is far more straight forward than with non jacketed. It's common for most new reloader's to have issues finding data for lead bullets such as OAL considerations, crimping issues, and a huge mass of varied powder data because of so many different types of lead projectile and hardness ratings, just to name a few of the matters you'll encounter. It can get quite confusing and even over whelming. Nothing wrong with loading lead once your comfortable with the basic process of reloading, but honestly speaking I've never loaded lead and not just because of my opinion that it is plagued with variables as stated above, and a few other's, but I won't put it through my firearms.