The common wisdom is to go with the largest caliber you can fire in a controlled and accurate manor. Personally I like 9mm. I could go bigger, but I like a lot of accuracy, and with the new ammo types (such as +P ammo) it has plenty of stopping power.  You may also want to consider defensive ammo like Glaser ammo. This is what I normally carry. It has low penetration which is important for the safety of others. You don't want to shoot an intruder and find that your bullet went on to kill your neighbor.

The best training advice I got while learning CC was to try it at home first. Try carrying it for 500 hrs. at home and you will discover a lot about how to hide your weapon, sit in a chair, use the rest room, etc.