I've owned my Sig P250 since May 2008, and I still love mine. I got a 9mm and I don't regret it. With minimal maintenance it still shoots straight. I never had any problems with mine, even after 1000 or 1500 rounds.
Why would you want the .40? I eventually got a .45 (Springfield XD-45) but not because the 9mm was lacking in any way. My CCW is a KelTec PF-9 and I love it just as much as the P-250. My .45 doesn't have much more kick than my P-250, so if you want to get something larger, consider the .45 ACP which has been around only a little longer than the 9mm Parabellum (9mm Luger or 9X19).