Quoted:
I have an LCP and carry it all the time. I'm leery of recommending it for a first pistol because it isn't fun to shoot nor is the .380 ammo cheap like a 9x19mm. But if that is the one that you want, then it will be a most welcome companion while jogging at nights if you run into any 'difficulties'. For me, it shoots about 1' above point of aim in rapid fire strings due to the trigger on it but I compensate for it to get COM hits with it. YMMV and others will dog pile on me that I'm doing something wrong but that is how it works for me. It is for halitosis range encounters and that is good enough for that.
I've met several LEO's at the gun shop that have gotten the S&W Shield and have wrung it out on their range. All of them are very impressed with it and some have even sold off their other compacts since it is that good.
My recommendation is to go to a rental range and try out the S&W Shield, the Walther PPS, and the Ruger LC9 to see what fits your hand to shoot best then buy that one. The XD Sub in .40 is going to have a lot stiffer recoil plus be heavier & thicker which will be a bigger hassle to carry while running.
My wager will be that you will get the S&W Shield if you do try it out.
Believe it or not, my LC9 has significantly more felt recoil than my XD 40 sub. I put a heavier spring in it, which helped a lot. Now, it may be about the same, but it's smaller handle still makes it less pleasant than the XD. My wife carries a Kahr PM9, and she won't fire my Ruger. That's one of the reasons I'm interested in trying the M&P.
You're correct about the XD being thick and heavy, though. I mostly carry mine in a shoulder rig.
eta: Check out the Kahr 9mm pistols, too. Very nice, and good shooting. IMHO, there is no reason to settle for a .380. In Germany, it's called a 9mm Kurtz, which means 9mm short. The diameter is the same, so there's no size advantage. Practice ammo costs a lot more, and it's a very weak round for SD.