Going with the First Estimate
There's no need to feel uncomfortable about getting several estimates. Contractors are used to working with homeowners during the "research phase" of construction. You can be completely open about where you are in the process when you meet with them. Some contractors will even offer to price match if the work they're doing is in a competitive building market like roofing.
When our house needed a new roof, we got a recommendation from the same company that did our first major home renovation. The roofer they recommended came by and gave us an estimate for the work, and we were very close to using this company when we decided to get a few more estimates, just for kicks.
It turned out that the first estimate was more than double what any of the others were!
We ended up going with someone who fell in the mid-range for pricing, and the work was great. I'm sure that first contractor would have done a good job, but we would've paid much more than the average price for our new roof.
What's important when you're gathering estimates from contractors is that you focus not just on price but consider a company's reputation, how long they've been in business, and what kind of warranty they offer on their work. You can check out resources like Angie's List and Yelp to see what other people in your area thought of the contractors you're considering.