Bigger rounds or more of them?
Why choose? Get both. I own both a Firestar .40 and a Browning High Power in 9mm.
But if forced to choose, I’d take the Browning. Quantity has a quality of its own.
With 9mm I can use the same ammo in my Mauser C96, my Beretta 92FS, and a P.08 if I ever get another one, and a Browning Hi-Power should I ever get one. .40 cal would be a one-off.
A boss had an H&K .40 pistol, and we went to the range one day. I liked his H&K, but I shot better with my Beretta. I’d still like a H&K like his, though. (OTOH, there’s an H&K that was sold in the '80s – not the VP70 – that I wouldn’t mind having, and it’s 9mm.)
I don’t have much love for the .40 S&W. It’s a subjective thing, but I prefer the recoil impulse of both 9x19 and 45ACP over the .40.
If I really wanted a handgun in 40 caliber, I’d get a 10mm 
Apparently the 9mm doesn’t have quite the killing power some would hope for.
To soon?
Too soon.
I believe that if you own a pistol, you have an obligation to achieve and maintain proficiency with that weapon.
I believe that to maintain proficiency, you have to practice.
9mm ammunition is cheaper around here, allowing me to practice more for a given ammunition budget.
I don’t believe the .40 is enough more powerful than the 9mm to justify the additional cost for ammunition.
I can do head shots at 50 feet with my 9mm CZ ten times out of ten. (unsupported, not off a rest. :p) That’s lethal enough for almost any situation I might get into. Anything worse than that will probably call for a rifle.
If money wasn’t an object, I’d shoot .45s. 
Have to know your audience, I chuckled.
I have a 9mm, purchased many years ago, and I can’t even remember what motivated me to choose that caliber.
When I worked Armored, I carried by 16 year old Taurus PT-99 in 9mm, with only a single 15 shot clip, despite the derision of my co-workers who insisted on larger calibers and massive numbers of rounds, on the basis that;
a> The only time someone had actually shot someone in the living memory of the guys who had worked there for 40 years had been back in the 70’s, and
b> My own conviction that since I worked the downtown (ie, crowded) route, if I fired more than twice, I was a moron who was going to hit a bystander, and
c> That gun had NEVER malfunctioned in the entire time I have owned it.
I had a S&W .40, but the thing was very temperamental and had a bad tendency to stovepipe. No way I was trusting my life to that thing - and I have since sold it.
My .357 with the 6" barrel was just too large and heavy to carry.
.40 S&W all the way. It is a larger, heavier projectile. Many of the .45 ACP guns on the market now have 13 round magazines, allowing you to have lots of big hole makers.
For plinking, 9mm makes a lot of sense with surplus and reloaded ammunition available for much cheaper than .40.
Me? I want a 10mm. Badly.
The 9 ----- availability of ammo and the range of ammo.
My preferred round is .45 ACP - I want to put BIG holes in things and knock them down. Between 9mm and .40, I’d choose .40. Unless you’re going to the expense of hollowpoints, the 9mm isn’t as reliable in a self-defense situation - they tend to over-penetration and smaller wound channels.
Why wouldn’t I be using hollowpoints? The OP doesn’t ask “Which would you choose if you were too stupid to load decent ammo?” now, does he? 
Well, of course. Even 45 ACP FMJ isn’t that great compared to a modern 9mm hollopoint. We’re talking a .45" wound channel vs. a .75" wound channel there.
If we’re talking military sidearms, then yeah, the .40 or .45 make more sense- you get a .40 or .45 FMJ wound channel vs. a .38 one (which is not that much, BTW).
I went with 9mm myself, with the assumption that if ammo’s cheaper, I’ll practice more, which held true until I moved to Dallas and the range fees went way up, and the ranges were way away from where I lived.
9mm because it’s easier to handle and even if the first shot doesn’t go through a protected vest it’s going to have the effect of being struck by a baseball bat. You can group shots on a center target or walk them up for a head-shot.
It’s not the arrow, it’s the Indian. The three most important factors in these caliber debates are shot placement, shot placement and finally, shot placement.
Studies say, in a shoot out, LEO’s will land 20% of what they shoot in training. If you average 100% and shoot 10 rounds, 2 will land. That is, they will hit flesh. Not necessarily be a stopping shot. Not good odds.
In my line of work, we “shoot to stop the threat”, thus, I opt for more stopping power, which I get from the .40 cal Sig that I carry. I also find I’m more accurate with my shot placement with the .40. Don’t know why. To me, it kicks less. Probably because it’s a bit heavier, thanks to the 12 round mag… The 9 I could have chosen has only an 8 round mag.
Screw that business!
For me, it’s about the numbers.
Without getting excessively technical
The 9 is going to have about 275 ft/lbs on the target while the 40 is hitting at 375. The 40 will have more recoil as a result, but I’m not looking at any extended firefights.
So the 40 is doing considerably more damage without significant chance of overpenetration.
9mm.
It’s ubiquitous, reliable, slightly more accurate as a general rule and less expensive.
.40 was just a watering down of 10mm after manufacturers failed to properly beef up their handguns for the heavier load.
I get 1350 fps and reliable expansion with +P 115 FMJs, more than sufficient to the task at hand should I need to use it. As with any load, practice is the key to proper shot placement, and with a less expensive round I can just about always find in large supply, it makes practicing easier.