I'd agree with a .22 for training, but for self defense look at the S&W Ladysmith. A "number" of my female friends carry a shoot them, in both .38 and .357 configurations. They are properly sized for a female's hand, so grip and retention are not an issue.
http://www.smith-wesson.com/webapp/...angId=-1&parent_category_rn=15704&isFirearm=Y
http://www.smith-wesson.com/webapp/...angId=-1&parent_category_rn=15704&isFirearm=Y