I would go with the .22 as well unless you are intending on doing some longer range varmint hunting. The 17 is basically a necked down 22 mag with a lighter bullet so it's faster and flatter shooting. They do some serious damage to small animals though. I would not hunt small animals I intended to eat with one, unless you kept it to head shots.
The 17HM2 is supposed to be pretty good on them though and gives you more range than a normal 22LR. Ammo cost about the same as really good .22 ammo I think.
I used to own a Henry .22, great gun wish I would have kept it. One of the most accurate .22's I have shot out of the box. The triggers are kind of icky though.
The 17's do have some problems in the wind, but it's better than the other rimfires if you look up the numbers. Wind won't effect the 17 until it's much past were a 22LR will shoot well, and then it has less wind drift than a 22 long rifle or 22 mag.
In my area the 17HMR is about $10 for 50 rounds. Not something I would want to plink with. CCI voleciters are about half that and pretty darn peppy if your gun likes them. Plus they won't blow a tree rat in half when you shoot it
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Paul