I just got 9mm P226 Alloy Stainless Elite, and really like it. I also have a P220 Stainless Elite, which I like for the range but no so much for carrying. The extra weight makes the all stainless pistols fun for a lot of shooting, but it is noticeable when carrying in a holster. The newer wood grips aren't as fat as the older ones that Sig used to provide. I think they're made by Hogue now, and they're shaped well. They are still bigger than the regular plastic and the E2 grips. I wear a large size glove, and the wood grips are about at the upper limit for size. Not too big, but close. You can always get an E2 grip set, or standard plastic grips, to replace the wood if they're too big. I think the Stainless Elite models give you extra value with the night sights, beavertail frame, and frontstrap checkering in either the alloy or all stainless guns.
As far as choosing between 9mm and 40, that's always a tough choice. I like the 40, but it's losing favor for now, and resale is tough. It may work in your favor as a buyer though. The 9mm is always in demand, and is a soft shooter in these service size semi autos. With MecGar magazines the capacity is 18+1 in 9, and 13+1 in 40. Factory mags are 15 and 12 respectively.
Sig still makes some of the best pistols in the world. They had issues with the newer plastic stuff, but you can't go wrong with any of the P22X models. I have small, medium and large Sigs, in all of the available calibers and each of them perform very well.