Have you looked at the Springfield Armory XD40 sub-compact (3" barrel)? I have strongly considered this gun for my next CCW. Actually, the only other weapon I am considering (for CC) is a Ruger GP100, stainless .357 Mag w/3" barrel.
A friend of mine has the XD9 sub-compact and swears by it. Accurate, durable, reliable and very easy to conceal (all while maintaining good capacity). Not to mention, excellent CS. The only XD I currently own is the .45 ACP variant. I love it. Yes, its not as "comfortable" as my P220, but for the price, quality (and capacity), IMHO it cant be beat. I imagine the XD40 would be the same.
http://www.springfield-armory.com/xd.php?model=2
Isn't a 9mm +P approaching the power level of the .40 S&W?
It may be "approaching," but IMHO it somewhat misses the mark. Personally, Im of the mind that one should not have to rely on going the "+P" route in order to have a "superior" or "equal" round. I say stick with the .40 unless max capacity is your thing. Besides, at least for now, it seems as if .40 S&W ammo can be found in abundance (HD loads or "target" loads). Yes, its more expensive than 9mm ammo. But, this means nothing when the ammo you seek becomes far too difficult to acquire.
To the OP-
Also, keep in mind that many (if not all) aluminum framed handguns (such as Sig Sauer) do not fare well with extensive use of +P ammunition (should you desire to use such ammo). This is another reason why I am strongly considering the XD40, given its polymer frame. Hence, such a weapon gives you a bit more "options" if need be, IMHO. Just something to think about when shopping around for your next CCW.