I always carry in the car (which actually doesn't require a permit in KY) and sometimes carry when I go to town and such. I have a Springfield XD-9 subcompact. Its NOT small. Next time, I'd choose a .40 rather than 9, although 9 is nice and cheap to practice with! I tried a few Glocks, and they jammed CONSTANTLY (like, 10% of the time, with quality ammunition). For an "unjammable" gun, unacceptable to me. I've had two XD's now, put well over 15,000 rounds through, and I've stove-piped twice. My friend has a Kahr PM9 9mm, and he LOVES it. Its VERY small, easy to control, fun to shoot. Holds 6+1 with the standard mag (whereas mine carries 10+1 with the standard). It is quite expensive, however, around 800? Mine was $600 or so since I got nightsights (mandatory, in my opinion, for any gun since it makes it soooo much easier to focus on quickly). Springfield is a great company, wonderful support, awesome in house upgrade shop (I have a custom trigger and an upgraded barrel, both done by Springfield). I can't say enough about them. Unless I get the little Kahr my friend has, I'm definitely getting another XD (not XDm, for me).
Previous to the Kahr, my friend had a .380 Rugar LCP. Very small, EASY to hide ANYWHERE, nasty very difficult trigger, and its "only" a .380, which isn't powerful enough in my opinion. Wouldn't ever get another one.
Overall I can't say enough about the XD. Only downside is they are large and hard to conceal (same size as Glocks). The little Kahr my friend has is amazing. Only downside is the price. DO NOT GET THE 40 VERSION. Much much much harder to control, way too much kick, too big a bullet for the frame. The 9mm is very well balanced and 10x more controllable compared to the slightly larger 40.
As far as cocking, XD's are always cocked. If its chambered, its ready to fire. The triple safety is a HUGE bonus for me. There is no thumb safety (although in the largest .45 they do offer a CA version that does have a thumb safety). There is a trigger safety, a grip safety, and an internal safety (which is why Glock and XD are the ONLY two guns that will not *can not* fire if dropped accidentally). There is absolutely no way you can fire an XD without having it in your hand and in a "ready to fire" position. And since there is no additional safety, there is nothing to fumble over in an emergency. Just hold it normally and fire and bam. Very safe. If you are only holding it half-heartidly, it won't fire. VERY slick. Especially paired with a custom trigger, its very smooth and very easy, while being very safe and pretty much impossible to fire without meaning it.
I also have a built-in laser (not the Crimson, because that bulks up the grip). I have an integral recoil spring laser; its a replacement for the stock recoil spring and puts the laser just below the barrel without adding anything external to get caught or restrict a holster. Love it
other than the expensive batteries, which is true for any laser.
Never been a fan of the walther, I have the .22 version. Nice plinker, horrible to work with or clean. XD breaks down in 10 seconds, and reassembles in 15 seconds.