I started out with a BB gun, but as far as firearms go I started out at the range shooting 9mm and .40. Went back a few years later and tried 9mm, .40, and .45, and settled on the .40. I'd shot .38s, .357s, and the Judge (in addition to 9mm and .40 carbines and a 12-gague long gun) across several range trips before I tried a .22.
My reaction to the .22 is this: it doesn't kick at all (made it kind of boring), it blew more hot gasses in my face than a .357 or a Judge, my Dad says it's been a pain to keep clean, and I have more fun shooting cans at home with an airsoft gun than I do shooting a .22 at paper at the range.
My philosophy now is if I'm teaching a youngling how to shoot, I'll start with airsoft, then a pellet gun, and then move on to the fun stuff - 9mms and up.