I second the Sig P238. For a pocket carry gun, being able to practice with it and get a good feel for it is important, and most of the smaller guns are crap to shoot. I've got the P238 SAS, and it's an excellent shooting pocket gun, especially compared to the POS LCP my wife carries.
A lot of people have recommended the p238. However, I just don't think I'd ever carry a SAO gun in my pocket. I think the safeties may be to small for me to manipulate under stress. Also, I believe the small pocket SAOs are more susceptible to having their safeties inadvertently taken off while in a pocket.