Short answer: The one that is best for you.
Long answer: It depends on many factors.
Size – Size matters. I don’t care how many times you have heard that size doesn’t matter. It matters! I think it is fair to say that we make decisions about size all of the time. For example, we choose our cars based on our needs, which includes the size. We choose our homes based on the size of the rooms and overall size of the house. It is the same with our guns.
Larger guns are, generally, easier to shoot. The additional weight help reduce recoil , the additional length of the site radius, and the larger grip surface make a big difference. Larger hand guns are often referred to as duty guns, service guns, and full size guns.
Smaller hand guns, especially pocket sized guns, are much harder to shoot for the exact opposite reasons, above.
Capacity is another concern when it comes to size. A larger gun will carry more rounds.
Conceal Carry Firearms have a different purpose than a range gun, for example, and sacrifices must be made when it comes to size.
Comfort – Size is part of the comfort factor. Obviously, a larger gun will be less comfortable to carry. A gun that is not comfortable to carry will not be carried, and we are back to shopping for a new gun.
Method of carry is an important consideration. Will the gun be carried inside the waistband, outside the waistband, appendix, shoulder, ankle, pocket, or off-body?
Weight is part of the size equation. A heavier, all steel gun, for example, will require a stiffer belt, and will also impact comfort more and more over time as additional weight always is a concern.
Speed to draw is another consideration when it comes to comfort. Depending on how you carry the gun and and the size, it may not lend itself to a quick draw.
Concealability –Size is one of the impacts here, as well. Smaller guns are easier to conceal. That is just common sense.
Holsters will impact concealability. Some holster provide for deeper concealment than others. The material of the holster will impact how well it molds itself to the body. However, it really does come down to the gun itself and what holsters are available for the chosen gun.
Lifestyle and weather are very another important concern. What do you wear? For example, in cold climates, it is much easier to conceal a larger gun, but it can be a huge challenge if you wear running shorts and tight t-shirts and still need to conceal a gun while out on a long run. Let’s not forget those that wear tailored suits have their own unique challenges. How about those that drive for a living and the choices for those individuals.
Performance – Can you shoot the gun well, and shoot it well under pressure? This is the most important question. If you can’t shoot it, why would you carry it and depend on your ability to shoot it under huge amounts of stress?
Feel – Is it comfortable in your hand?
Sights – Can you see the sights and get a good sight picture, quickly? Luckily, sights are easy to replace with ones that you can use to acquire your target quicker than the stock sights.
Trigger – Is the pull smooth and easy enough so that it won’t cause you to miss? We see stories all the time about police missing their targets and hitting innocent bystanders. We don’t want to use a horrible trigger that will make it harder to hit our target.
Recoil – As many people will learn, it isn’t about that one shot. In many cases, you will need to shoot multiple times to stop the attack. Strong recoil makes it difficult to get back on target with follow-up shots.
Cost – Most of us don’t have extra money laying around. I am sure you have heard that “you get what you pay for” several times. This is, somewhat, true when it comes to a gun. Remember, you are depending on this tool and it has to work when you need it. The balance between cost and performance can be challenging. I, personally, have seen some great, inexpensive guns that are fantastic options. I have also seen some guns that cost more than my car, but that doesn’t really make them better for conceal carry.
Training – This should actually be part of the cost. It doesn’t matter if you have the perfect gun if you do not know how to use it well. Good training, and lots of practice are vital when it comes to conceal carry. Improving the software (the shooter) is often a much better investment that getting better hardware (the gun).