It all depends on your actual use of the gun...if it's for fun, plinking and/or target practice, by all means the 22 is the way to go. They also make great backup pieces because of their size. I have a Ruger Mark III hunter, great shooting gun, very accurate, but it's heavy, so I mounted a holographic sight on it and only use it for target practice. I have a Browning Buckmark in Nickel, it's great for open sight shooting and super reliable, it's my field gun, walking around the pond fishing or frogging at night, it's on my hip, love to shoot it. I also have the Walther P22, bought it for my wife and 12yr old to shoot...great feel, very accurate and fun to shoot. I don't have the Sig, but one of my best friends is a Sig fanatic and he loves his. I'm sure you can't go wrong with it. If it were me, I'd go down to Bass Pro and have one of their sales guys/gals take the whole assortment out and show them to you, see what feels good to you and which you like the best. In my opinion, they are all great guns, some have better characteristics and uses that make them special. If there is a shooting range near you...ask around, most of the guys/gals there will be proud of their weapons and will likely love to show you what they have and maybe even let you fire a few rounds off, ask around and make some new friends!
I agree w Supe on the 380 and 9mm, I don't have a 380, but I have a Ruger P97 in 45 and P95 in 9mm, love to shoot them both, great guns at a low price point. 9mm and 45 are both fairly easy to get right now and the price isn't too bad, if your going defense and maybe CC, I'd go with one of these two. The 9mm doesn't have much recoil and is available in some pretty small frames and with the extended mag you get a pinkie rest. I have my CC, but I don't carry very often, so I use a rear holster and a full frame, but the compact and sub-compact frames shoot pretty well at under 15-20yds...
