Ain't nuttin' really wrong with a Sigma-I've had a few over the years.
I've moved on to other fancier/pricier/namedropper brands, but my bed gun is still a 9mm Sigma. It works, so I saw no reason to spend any money replacing it.
Sold most of my old ones to new/first time shooters, usually co-workers that had taken an interest in SD-none have complained about 'em yet.
Unless you're married to the 40, I'd seriously consider the 9mm?
I've tended to move down in caliber over the years as SD ammo has improved (stay away from those 20/25 round 'consumer' boxes!).
Just a few Sigma notes:
1. Installed a Hogue Hand All on mine
2. The rail is proprietary-may want to consider something else with a Picatinney rail if that's important to you?
3. Make sure you get an 'E' model (Enhanced)-thought I might toss that in there in case you buy used-all of 'em are now E models, which have various improvements over the original.
4. Some complain 'bout the trigger-doesn't bother me as I learned on DA revolvers. I also practice for it's intended role-I use a 'controlled trigger slap', which I see some schools are now teaching (lots of dry fire practice!).
5. A much better gun than it's reputation-most of it's bad rep comes from fans of a certain other brand that loved to run it down for being a copy-I let the laywers worry 'bout that.
HTH