.22 is a great gun to start with and do some limited range shooting. As you mentioned, ammo is dirt cheap.
You can find .22 pistols easily in the price range you are looking at. There are a variety of manufactures of varying qualities and features as well.
If you have a gun range nearby, you can go check out their selection and find out what fits your hand best, if you want steel or polymer, revolver or semi, etc... Some ranges will also have a gun rental section where you can check out some other options. If the "cool" factor appeals to you, you can consider a .22 carbine like Colt's offerings.
Once you settle on a brand or model, I highly suggest finding an FFL and buying your gun online. Local stores have horrendous markups. Usually an FFL fee will run 25$ give or take, but the overall savings will be huge.
Also, Wal-Mart only sells rifles as far as I'm aware.
I don't want the world; I just want your half.
Discord BigNasty#8519