Although the 9mm is about the same (or a little less recoil) to shoot AND is cheaper to practice with, I still prefer the .45 ACP. It puts a bigger hole when you need it most, and I personally find that the .45 "kicks back" on recoil where the 9mm "kicks up" (more muzzle-flip than the .45). The .45 I can get quicker follow-up shots with.
Then again, it all depends on the gun and platform. I'm only talking from my personal experiences.
What someone else here gave is really sound advice that I would definitely consider: Go rent some, shoot them, then make your decision. Try different platforms - maybe even try some revolvers - and then go from there. Also, try a couple other calibers as well. You might find that neither the 9mm OR the .45 fits the bill as well as maybe a .357SIG or .40 S&W will.
Good luck, and welcome to the realm of handguns, and hopefully CCW (if you can get your permit where you're at).
-38SnubFan