Jay:
My experience consists of a ROTC firearms course in college and a beginner's certification course in the early 2000's so take this for what it's worth.
I think your choice of firearm really depends on the reason you want it.
If you just want something to use for target practice, blow off steam, because it's fun, etc., then a .22 is fine. It has virtually no recoil and the ammo is cheap.
Dannie's right though. If you intend to use it for home protection as well, then a .22 is next to useless. You would almost have to be within 3 feet of a perp for a .22 to have the intended effect (at least that's what I've read).
For home defense, the decision usually boils down to whether you want a handgun or shotgun (at least IMHO). For handguns, the main camps seem to be 9mm or the more powerful calibers (e.g., .40 or .45).
The 9mm has less kick and its ammo is noticeably cheaper so if that means you go to the range more often and become a better shot, then it could be worth it for you to invest in one.
The .40 and .45 caliber weapons have more recoil and better single shot knockdown power, but the ammo is relatively expensive. Also, if you have a SO and want her to use it, she might not be able to handle/want to fire such a powerful weapon.
As for shotguns, my cop buddies all tell me that is the weapon they recommend to average joe homeowners. First, if you are dealing with an intruder and are scared out of your wits, a shotgun gives you a MUCH better chance of actually hitting your target because of its spray pattern. Second, the sound a shotgun makes as a round is chambered is distinct and pretty much guaranteed to scare the bejeezus out of anyone.
There are also other arguments that you might consider if you get serious about this decision like the fact that a 9mm has a higher muzzle velocity than a .40 or .45 so the 9mm has a higher likelihood of going through drywall and hitting an unintended target (at least that's what I've read).
I haven't shot in a while, so I am not that familiar with the indoor ranges, but the ones I used to go to had a ton of weapons you could rent. My two cents is to go to a range, try out the different calibers, see which one you feel comfortable with, and then try the models from the major manufacturers within that caliber until you find what "feels right." For example, if you shoot a 9mm, .40, and .45 and like the 9mm the best, try the 9mm's made by Glock, Sig Sauer, etc., until you come to "the one."
Hope this helps. I am by no means an expert. You live in Texas, so I'm assuming there are a LOT of guys who have much more experience than I do. :-)