Many people recommend a 22 for a first gun, but as said above - if you eventually want to have it for self defense, I think U should buy a 9mm. While this is a Walther sight, U can get some good 9mms for not too much money - Ruger makes some, Taurus 92, CZ has several 9mms. Beware some of the off brands, though. And, of course, the P99 is great if you can find one of the P99s with the A/S trigger style (they are no longer imported and only come in the QA now).
To be honest, while I hear some good things about the P22, I have also heard a lot of neg stuff. And, from what I understand, it's not as accurate as some of the other 22s out there that are more of a target gun. It's probably a "fun" gun to shoot, but not much of a bulls eye 22.