I would suggest finding a range that rents guns. Try a 9mm and a .40 in the same size gun (i.e. Glock 19 & 23 respectively). Get which ever caliber you are more comfortable with. I personally shoot .40 but every shooter is different. Absolutely nothing wrong with 9mm. My next CC piece will be a Kahr CM 9 (9mm).
I just got a cm9 last week and love it. I never liked double action but it was very shooth with a clean break and easy to get used to. Pretty easy to pocket carry as well.
The most important question has not been asked and that is exactly what do you want it for? If you are looking for a range/plinking gun I would say the 9mm due to cost, if you want a defensive gun I would say the .40 because it is quite a bit better suited for dropping a BG. I'm not a fan of having two barrels for one gun. Much prefer just having 2 guns, one in each caliber.
Both rounds are great man stoppers, the .40 obviously has the ballistic advantage but the 9mm is no slouch. IMO 9x19 is more then enough for civilian carry. But if i was a police officer or at war i would opt for the .40 S&W or .45 acp.
"When the power of love overcomes the love of power, the world will know peace."
Every time I will suggest 9mm over .40 S&W. I just don't see the point of .40 S&W. It was created due to a mistake. The difference between the two is minimal except in cost. It's a lot cheaper to get 9mm.