I've been loading 40S&W since 1991 when I bought a then very new 4006 designed for a very new cartridge. Funny looking back on the history of the 40 now, since at the time the 10mm was the big thing and the future of the 40 was quite uncertain. Brass was in short supply in those days and I can remember for the first few years sifting through hundreds of range pickup 10mm brass just to find a few 40s. My, how times have changed (and I wish I had a bunch of that 10 now!!).
I've used a lot of powders and bullets over the years, even have some of the earliest published handload references for it from late 1991 or early 1992 that are considered waaayy to hot now, especially the 200gr ones! My standard load now is WSF with a 165 gr bullet. I used a lot of Star 165FMJ bullets, wish they were still available and cheap like they used to be. I still have a couple thousand of the 165 and 180s.
WSF is still my favorite powder for the 40S&W. It meters consistently, gives great accuracy and I've had no problems with it ever since it came out. Funny to think about that...I believe it was a new powder development that coincided with the introduction of the 40. There may be better stuff out there now, but I haven't found need for it or see where there is any significant improvement either.
Plated bullets are OK but be particularly mindful of neck crimping issues; the 40 needs a good solid taper crimp to avoid setback problems. Since it is a high pressure round as it is, it does *not* like setback! Thus, powder choice is important to make sure that loading density is very high. I seat and crimp in separate operations and use a Hornady TC die in my LNL-AP for the final solid crimp. I didn't do that so much with jacketed bullets, but found it better to do so with plated and lead. I have loaded lead bullets with a good deal of success as well, and long used a lead 180 TC bullet for cowboy action shooting in a pair of Ruger Vaqueros chambered in 38-40 with spare 40S&W cylinders.
Brass or nickel plated cases make little difference, although I did like to use nickel ones for the cowboy loads for that "silver bullet" look. Most of my brass has been range pickup over the last 20 years or my own once fired stuff. I'm still using the same set of RCBS carbide dies I bought in 1991.
Oh yeah, to add, guns I have in 40 now: S&W 4053, 4006, HK USPc (2), HK USPf and the Vaqueros. No Glocks, no Kahrs. HKs aren't finicky about anything. Neither are S&Ws.