It depends entirely upon what you want to do with it. Is this is just for target shooting/ fun plinking or hunting or self defense or what?
I am asked this question a lot and it just always must depend on what the use is. I would never suggest that you buy a hammer to drive screws and I would never recommend someone get a .22 for self defense, but if your purpose is that this first gun is just a place to start getting into handguns then a .22 is THE place to start.
As with any gun, one should never start with anything that might scare you off because of recoil, muzzle flash, complicated controls (or lack thereof!) or even expense.
.22 ammo is cheap, reliable & easy to find. A quality .22 handgun can be exremely accurate and a lot of fun! If you are not familiar with semi-automatic firearms, I would initially recommend a Ruger single six revolver. Then move up to a Ruger MK II semi auto (I have 6 or 7 of them myself.. I love them!) and then move up from there. You can plink, target shoot, hunt. Actually they are quite versatile.
You might find you like revolvers better than autos or vice versa. Why not start cheap to find out?