As has been said, it's a tradeoff among size, weight, and ooomph. While the compact 40's are easy to conceal, the additional weight may mean that you don't carry it when you should. A smaller caliber will be less weight. But, weight isn't the be-all and end-all, either.
Something to think about... the compact .380 such as LCP or TCP have a heck of a felt recoil. The additional mass of a compact 9mm offsets that somewhat and the single stack 9mm are not much bigger than the .380 version. If I had to do it over, I believe I'd select an LC9 over the .380.
On duty - full size .40S&W but, off duty, a compact 9mm (glock 26) or my old S&W sigma 9 (same as infidel had.. SW9V) do just fine.
But, for goodness sake, TRY several. Handle them, dry fire, fire if possible. Although the sigma is a glock knockoff (it wasn't licensed, and smith lost that court battle), the grip angle is just different enough that I selected that over a glock when we had both for disposal. It's how it feels to you and Andrea.
Off my soap box. :cheers:
Ed