Felt recoil depends a lot on the individual pistol - grips, size, weight, how it fits in your hand, etc. In general, 9mm is going to feel like it kicks less than a .40 or .45. However a 9mm isn't as powerful as a .40 or .45. I've read that in terms of real world "stopping power" the .40 155 grain hollow point load and the .45 230 grain hollow point are pretty comparable as far as putting people down quickly.

I shot a .40 SigSauer a few times that felt like it kicked harder and harsher than the .45 Smith & Wesson I was shooting during the same range session.

I would recommend that you go to a range that rents guns, and try shooting a variety of pistols in the 3 calibers you are looking at. If you can handle the recoil from a .40 or .45, go with one of those. If they seem a bit much for you, get the 9mm and make sure it's loaded with quality hollowpoint ammo and you should be fine.