My wife carries a 9mm, I carry 40 S&W or 45 ACP depending on application. To me my wife's sub compact XD 9mm recoils as much as my Sig P229 40 S&W. Size, weight, construction, and quality can make a difference in perceived recoil.
The 9mm makes a great first defensive caliber handgun, it has acceptable penetration and momentum, very controllable recoil, is cheap to shoot, ammo is readily available, in component form bullets for 9mm are 1/2 the price of either 40 or 45.
I'd recommend reading some about terminal ballistics, there is some good information out there. Make sure you look at the FBI's publication
Handgun Wounding Factors and Effectiveness it is a good primer.
The FBI required 12 inches of penetration with up to 18 inches being preferred. The reason being is you may have to shoot through barriers (glass, arms) or take a right side shot which places the vitals considerably further than a square shoulder shot. You also want the bullet to have enough momentum and energy to penetrate vitals rather than just push them aside.
I consider the following (my opinion)
#1 is accuracy and bullet penetration, some people like put one above the other but I firmly believe they are equally important. Handguns stop threats by penetration, if you can't place the bullet in the vitals penetration doesn't matter, if your bullet can't penetrate to vitals placing the bullet in the right spot doesn't matter.
#2 is bullet construction, you don't want the JHP to destruct on bone or muscle but you also don't want it to not expand at all, because handguns disable with penetration more penetration is better than over expansion.
#3 is bullet size / weight, bigger bullet = bigger hole, also JHP still don't always expand, a non expanded 45 ACP is nearly as large as a fully expanded 9mm. Bullets less than 200 grains are prone to deflect on muscle and bone and tend to over expand more easily.
There is a trade off between momentum and energy, momentum increases as bullet weight increases while velocity is constant or decreases only slightly. Momentum is thought to be a better predictor of penetration than velocity or energy which is why the 230 grain 45 ACP works so well even though it is slow it has a ton of momentum.
For every caliber there is a sweet spot where you get maximum momentum and energy.
40 S&W tends to do very well because it uses considerably heavier and sometimes faster bullets than the 9mm, yielding more energy and momentum and more energy and almost as much momentum as the 45 with higher capacity.
9mm
a standard pressure 9mm at 1200 fps has:
energy: 335 ft. lb
momentum: 138,000
a +p 9mm 115 grain bullet at 1250 fps has:
energy: 399 ft. lbs
momentum: 143,750
A +p 9mm 124 grain bullet traveling at 1180 fps has:
energy: 384 ft. lbs
momentum: 146,320
In this case the 124 grain will likely have better penetration even though it has less energy because it has greater momentum.
40 S&W
A 180 grain 40 S&W has
energy: 412 ft. lbs (7% more than 9mm 124 +p)
momentum: 182,700 (25% more than 9mm 124 +p)
The 165 at around 1200 fps has:
energy: 527 ft. lbs (37% more than 9mm 124 +p)
momentum: 198,000 (35% more than 9mm 124 +p)
Which makes it an excellent defensive round.
45 ACP
230 grain standard pressure Gold Dot at 890 fps
energy: 405 ft. lbs
momentum: 204,700
200 grain +p gold dot at 1080 fps:
energy: 518 ft. lbs
momentum: 216,600
230 grain +p at 950 fps
energy: 461 ft. lbs
momentum: 218,500
in 45 ACP the 200 +p offers more momentum and energy than the standard pressure 230, and more energy than the +p 230.
Thoughts
Velocities are taken at the word of manufacturer, Golden Saber and Gold Dot product information was used.
None of the 45 ACP loads can match the energy of the 40 S&W and even the +p 230 45 ACP only has 10% more momentum.
Even the 180 grain 40 S&W has 25% more momentum and 7% more energy than the 9mm. The 180 grain bullet is less likely to deflect or destruct with contact with muscle or bone than lighter bullets (bullets over 200 grains do best, which is one reason why 45 ACP 200 +p or 230 grain bullets work very well)
+p and especially +p+ 9mm are likely to be close to if not more recoil than a 40 S&W.