Many gun shops that carry Sigs also carry factory refurbished Sigs that can run under $500. The reconditioned ones will have a paper blue ribbon around the grip that says Sig Arms and honestly, they look about as good as the new ones.
A Sig 228 and 229 is the smallest current production double stack magazine Sig in 9mm up. A 228 is a stamped steel version (some like it better) which is lighter than the milled 239.
Sig 239 is the smallest in 9mm up, but it's a single stack mag. Makes it easier to conceal carry but you lose a few rounds in capacity.
I have a Sig 226 in 9mm and it's one of my favorites for bedroom gun and range gun. Sigs are known for exceptional accuracy. But it's a full size.
Then you have the whole Sig Pro line, which cost less but are polymer framed, like a Glock.
I conceal carry a Kahr PM9 in 9mm most of the time and I think that's probably the last conceal carry gun I'll need to buy. It fits the bill for me perfectly. I found it for $500 new.
Also in my conceal carry options is a Glock 29 in 10mm. I carry that outside the waistband holster in the winter when I can wear a jacket, but it's nowhere near as carry friendly as the Kahr. Glocks are fat (thick) pistols with their double stack magazine grips.