Well, I don't have my CCW yet but I carry concealed at home sometimes and I use to carry a Springfield Armory XD40 Sub-Compact. It was small enough to use with a paddle holster inside the belt or I would just tuck it in the front or back of my jeans.
I have a large frame Ruger P89 as my sidearm right now, it is built like a tank, I am a great shot with it and it has never failed me, so I like it. I will get something better soon, as I had to sell some guns due to a financial crunch a while back.
Being .40cal, it packed a better punch than a 9mm but not as good as a .45cal, they run about 400-450 new and have some gear that comes with it now called XD Gear but it isn't high quality gear so I would suggest a nice aftermarket holster.
Nowadays, I would probably either go with a nice Kimber in .45ACP, I like the Desert Warrior a lot but they can get pricey...
http://www.kimberamerica.com/pistols/cu ... t_warrior/
The Kimber Ultra Carry II has a shorter barrel and also uses the .45ACP round...
http://www.kimberamerica.com/pistols/ultracarry/
Or if that is too big for you, you could try a KelTec or the new Ruger LCP in .380cal, it is extremely similar to the KelTec but it looks/seems to be made better.
http://www.ruger-firearms.com/LCP/
Join a firearms discussion forum if you have more questions, there are a ton of great sites out there, always review and try to shoot the gun before you purchase it. Sometimes, they may have one at a range for you to try out first.
Good luck on the CCW course and I also recommend getting Alan Korwin's book for your state if you do not have it already. You can get it here:
http://www.gunlaws.com/