Like many others, it would depend on what you're shooting.
Since I really only shoot USPSA, here's my thoughts. For Production, there's no benefit to shooting anything larger than 9mm since all is scored as Minor. 9mm is cheaper than .40, so why not?
If I was going to shoot Lim 10 (like I will be soon...4 more days to 1911! WOO) there is a disadvantage to shooting *most* 9mm as it doesn't make major. If that's the case, .40 or higher so you can score using major PF. (Like on Sat, Scorp, you may or may not have been better of in Lim 10 than Production.)