its like .22LR doesn't seem that exciting, but for someone like me who is a pretty garbage shot right now, its an affordable way to work towards getting rounds on target and a smaller grouping after that, so its very exciting to me, because buying decent ammo at 25 cents or more a round for my .40 or 9mm, versus 10 cents or less for a 22 and the gun will basically pay for itself just in ammo savings while training!
I usually start my range sessions with a 22 (usually my Advantage Arms kit on one of my Glock frames, or now my new M&P Compact 22). It gets me into the right frame of mind and thinking about what I am doing, etc without much recoil, etc. Biggest thing for me is to have something as similar to my carry gun as I can get so that I am building muscle memory and don't have to change my mechanics much.
Also, I know you asked about handguns, but if you ever get into ARs, I'd highly recommend an M&P 15-22. Great 22 LR gun for practicing as all the controls are in the right place, etc and mimic the AR.