I have a Sig p229. I love it. My dad has a sig sp2022 he loves it. One is all metal, one is polymer both shoot great and carry well.
Both can be found in .40cal.
You might also look at the p239 also available in .40cal
I had a friend who bought a H&K .40cal and then sold it off for a 9mm. It was just to expensive to shoot enough to get good with.
Go to a range where why you can rent guns to try and shoot everything you can get your hands on.