I prefer the 9mm. I do not believe that a .40 offers enough advantage over the 9mm to make it worth the added recoil and muzzleflash. My duty weapon is a Glock 17 in 9mm. I carry 17+1 and can fire multiple rounds, on target, quickly. The difference shooting at night is also noticeable. Not that the 9mm doesn't have any muzzleflash, but the .40 will about blind ya if you shoot it at night. Now you might say I'm a wimp and can't handle the .40.... Sure, I'll buy into that I suppose. But nobody can argue with multiple rounds, accurately and quickly on target. The .40 is very "snappy" and I don't notice much at all on my 9mm.
Another side of it, and I have no data whatsoever to support this. But .40s are a higher pressure round. That means more wear and tear on your pistol. That's probably not enough to be noticeable, but there it is anyway. 9mm is cheaper to shoot, typically easier to find, and just about any gun store carries multiple brands.
I'm just a fan of the 9mm. Also love my .45.. not a big fan of the .40. But that's just me, I don't want hit with any of them.
Find a gun that fits you well and that you shoot well. Practice, train, practice, train, practice, train. That's what really matters.
-Jake