I also live in an area with high gun prices. I'd agree (here anyway) that most under $300 9mms aren't worth it. However, there are exceptions.
Under $200 your choices are very low (pretty much no quality 9mms).
Here is my list of good budget guns for home/self defense (based on local prices):
$200-250 range:
-Bersa Thunder in .380
-used medium framed .38spl revolver (preferably a S&W)
-Hi-Point 9mm carbine (not a pistol, and not great, but decently reliable, new and 9mm for under $200)
-Mossberg 500 12ga shotgun
-Makarov
-FEG HP clone (you might be able to find one this low here, though more likely to be $300 if you can find one)
$250-300 range:
-FEG HP clone
-Remington 870 12ga shotgun
-new Taurus 82 or 83 in .38spl (you may be able to get a 65 or 66 in .357mag for this, but probably $20-50 more)
-used medium framed S&W .357mag
$300-350 range:
-FM HP clone
-new Taurus 65 or 66
-used S&W auto (you might find one in this range)
-used CZ (if you can find one)
-used Taurus 92 (if you can find one in this range)
-used Ruger GP 100
-used Ruger Speed/Service Six
-.357mag lever rifle (you will be lucky to get one in this range, more likely $350-450)
-new Firestorm/Bersa Mini-9 or Mini-45 (if you can find one)
$400-450
-new S&W M10
-new CZ 75B
-many used autos (most S&Ws, some SIGs)
-new S&W Sigma (keep in mind that many don't like these, but newer ones seem to be ok)
$450-500
-new Taurus PT911
-new Taurus PT92
-used Beretta 92 (you might be able to find a beat up one towards the upper end of the range)
-used Glock (you might be able to find a beat up one towards the upper end of the range)
-new S&W 910 or 908
(Edit: Please note, this is not an all encompassing list. There are many good guns not on it (the Witness for instance). This is just what first came to mind. It does help to show that there are some good budget options)
For a first gun that will be your only gun for a while I'd suggest something in a defensive caliber (9mm, .380, .38spl, .357mag) first. If you get .38spl, 9mm or .357mag (which can shoot .38spls) you can shoot fairly cheap practice ammo (sure, not as cheap as .22, but it is still pretty cheap) yet it is still suitable for self defense (sure, .22lr is ok if it is all you have, but when there are cheap self-defense calibers I'd go with them). If I had to choose between cheap practice and good for defense I'd go with good for defense for only one gun (for example, if you had to get a .40s&w, .45acp, .44spl, etc.). Get a .22lr later when you have something to defend yourself with.
One option though, is to get a cheap .22lr rifle in addition to a cheaper handgun in a defensive caliber. You can get a decent .22lr rifle for as low as $100-150 for a semi-auto and as low as $80-120 for a bolt rifle. With that you might be able to stretch $225 or so for a Bersa .380 or $200-230 for a used S&W .38spl.