Its a matter of personal taste, finances, and the specific gun.
Most of the .40s I've owned didn't much care for any bullet weight under 180gr. (Which is great, since that's the cheapest round available.)
Once you get your gun sighted in, try several different weights. Recognize that points of impact will be different -- but the gun should still "group" consistently.
Some guns simply don't like some types of bullets, etc.
