Those who have told you to go to a firing range that allows you to rent and try different handguns are correct. Try as many as you can afford to, prior to making your decision. Here are a few that may fit your criteria:
Kahr CW9, K9, or P9, all 9mm's (pronounced "Car") Very thin, reliable, and easy to conceal. Work especially well with smaller hands, as the pistol has a thin, single-stacked magazine, as opposed to others with a staggered, wide-body hi-capacity magazine. The CW9 is the value series of these guns and are available at $379 new almost anywhere. The K9 or P9 are around $600-650 new, but quality used ones can be had for around $450.
Glock 19 (Compact 9mm) Very reliable, very easy to find holsters and other accessories for. Does have the staggered magazine, which some find produces too thick of a grip, on the other hand, it does hold 15 rounds, which is a bonus. Did I mention that this gun is extremely reliable? (Issue gun for NYPD.) $500, almost anywhere.
Springfield XD9 9mm. Reliable pistol with a few "extra" safety features. These tend to fit peoples' hands very well. The "Service" sized pistol is a full-sized gun, good for home protection, but if you are going to carry it often, you might opt for the "subcompact" version of the same gun. $480-520 new, depending on where.
Sig P239 9mm. Reliable, thin (single stack) grip.Easy to carry and bears the Sig name, which has a reputation for building tough, reliable pistols for hard use.~$600 new.
There are many others that could be recommended, and do try others, but this is a good start. Good luck, and welcome to the forums.