Just a couple of things on the 357SIG. First, its not hard to find, and basically costs the same as .40S&W. Last time I bought in bulk, they were exactly the same, last time I was in Walmart, the .40 was $1 cheaper than the 357SIG, for a 50 round box. If your worried about cost, then go with 9mm, as its always been the cheapest. .45acp has pretty much always been the most expensive. I believe the GAP is in about the same range as the .45acp.
357SIG is not a necked down .40, and is a completely different case. While you "can" make a 357 case out of a .40 case, the dimensions are not correct, and the neck comes up short. I believe there are also dimensional differences in the thickness of the the brass as well.
What you shoot it out of will make a big difference in what it feels like to shoot. The difference between a Glock and a SIG is instantly noticeable, but neither are hard to shoot. Felt recoil with standard 357SIG is basically that of a +P+ 9mm out of a similar gun. If your worried about penetration, 9mm is going to be similar, and actually, for defensive ammo, they all penetrate pretty much the same. The smaller calibers tend to out penetrate the larger caliber through barriers though.
I have a number of guns in 357SIG, and I have spare .40 barrels for them. The .40 barrels rarely get used, and all but one were only ever fired to confirm that they worked OK.
I was thinking about getting a 33 to go with my 31, but the more I thought about it, I figured why bother, and just went with the 26. The 357SIG does best with the longer barrels, and +P+ 9mm is basically the same as the 357SIG, so why not just have the extra rounds.