.40SW was designed to bridge the gap between 9mm and .45. IIRC its a shortened 10mm round. I have never shot a .40, however I hear that the recoil is quite abit snappier which causes slightly more muzzle flip than either 9mm or .45. I do believe the .45 is slighty more expensive than .40SW.
Best to pick a caliber you can afford to practice with ALOT. There is alot of debate about caliber and I would rather not start one, but it really boils down to whatever caliber, you can control and are most accurate with. Placement is more important than hole size in general. 9mm would be superior if YOU can shoot it twice as fast with twice the accuracy than the others. If I were you and you could rent the different calibers, do that.