Like others have said, get what feels good to you. Caliber is up to you. For concealment, I carry a Russian Makarov. It'll do the job, a little heavy, but stable and has an attached barrel...accurate as hell and fits my hand well, and won't let me down. Whatever you get, hopefully you wont have to use it.
On a side note, I love my remora holster for it...you can wear it with any type of clothing and it won't slip.