The P239 was designed around the 9mm, being of European origin, it will handle +P and +P+ loads without issue. Don't worry about the alloy frame scaremongers, noone shoots more than a few hundred rounds of the hotter stuff anyway, and anyone who can afford to shoot +P+ as a practice load can afford to buy a new P239 when the frame starts to peen.
Most people who try one, shoot the 9mm P239 better than almost any other gun.
I would go with the Ranger T series 127 grain +P+, Remington 115 grain +P+, Federal 124 grain +P+, or the Federal 115 grain 9BPLE +P+.
All of these will give you everything a .357 SiG or .40 S&W could with an extra round in the mag.
It has one potential weak spot, and that concerns rusting, hopefully the Nitron finished versions have finally laid this issue to rest, so make sure you get one with this finish.
I believe the 9mm P239 to be one of the finest modern handguns ever designed, whether it be for CCW, home defence, or even competitive shooting because of it's high levels of accuracy - it's that good.