Selecting a handgun for "personal protection" is a big decision, the choice depends on a number of important criteria. Your experience level and your willingness to train with the gun are probably more important than the gun you choose. If you're not experienced and don't care to spend time at the range frequently, it's probably best to disregard the semi-auto's and go with a revolver - the manual of arms is much simpler and easier to remember under stress. It's tough to go wrong with a quality, medium frame 38/357 sixgun.
If you choose to go the semiauto route, it's probably best to ignore the "buy a 45 and pack it cocked and locked" advice as few can really shoot a 45 well under stress without regular practice. If you want to be a true hard core pistolero, you have to pack a 45, but be prepared to put in the time necessary to master it. Even the best 45 shooters will run a 40 or 9mm faster and with greater accuracy, simply due to the reduced recoil. If you want the biggest, baddest fighting handgun out there, the 1911 .45 is probably it - the bad news is they are generally not as reliable as some newer designs "out of the box" and often require tweaking to get them to operate reliably. The best versions are customs and VERY expensive.
That leaves the alternatives, including Glock, Beretta, SIG, HK, et al. Glocks tend to dominate most forms of pistol competition where 1911's are not allowed, and are actually the only alternative format that's competitive with the 1911 on it's own merits - at least in IDPA and USPSA competition. Glocks are reliable, lightweight and durable, but they are not for everybody as they require careful attention to trigger control and upon reholstering.
SIG and HK are probably "the best of the rest" and are often preferred choices for concealed carry, as they offer ultra-safe modes of carry that still allow you to put the gun into operation quickly. For concealed carry, both the Glock and 1911 models require somewhat more training and experience than double action automatics with manual safeties.
Caliber is important, but bullet selection is critical. A quality 9mm JHP like Golden Saber or Cor-Bon is a more effective bullet than 45 FMJ- don't assume 9mm is an ineffective caliber. With the right bullets 9mm is an excellent choice, and they're much easier to shoot than larger calibers like 40 and 45.
40SW has taken off like gangbusters and I think outsells every other caliber by a large margin, because it combines much of the power of the 45ACP with only slightly greater recoil than 9mm -many see it as the ultimate compromise, and it also permits greater magazine capacity in pre-ban or law enforcment magazines.
Whichever gun you choose, seek out competent training, and practice with it frequently.
This is correct. Some of you slamming the 9mm or promoting the .40S&W or .45ACP as superior should go on a real gun enthusiast sight and see what kind of reaction you get.