For a first pistol, my recommendation is a .357 revolver. Simple to shoot, simple to maintain, put cheap .38 SPL in it for target practice (mild round/recoil) and full on .357 JHP for self-defense...
I know you want an auto-loader...but you don't say why...
If you're sold on the auto, a 9mm is a good compromise between shooting cost and round effectiveness. I own a couple of .40s (H&K USP compact...best gun out there...) and really like the caliber for defense/LE applications, but it is a bit more pricey at the range...again, it depends on your intended use/application...if it's just shooting, a 9mm is a good choice...
In your price range, there are a lot of choice for gun type...personally, I like the S&W 3rd Generation, like the 5906. I've had a 5906 for 22 years now, one of the most reliable things I've ever owned, heavy, but reliable, accurate and built to last...