To be honest, as far as .40 is concerned, I just don't see the point. It's more expensive, and it's so damn close to 9mm that if I'm going to bump up a caliber, I'll just go with .45 ACP. But that's just me.
You can always opt for 147 grain 9mm rounds too. I've read they provide the best penetration for a 9mm round and are still plenty fast to open up a JHP. tnoutdoors9 has a good video a out this on youtube.