I have fairly recently bought one each P239, P229, and P226, all in .40 S&W.
I like the stainless P226 best as it is quite hefty and makes a nice range gun.
The P229 was bought used and has the nicest trigger that you'll ever pull. It would be my choice if I could have just one. It's about the same size as a Glock 23 and is fairly easy to carry concealed, with the right holster. It is ironic that you can get 12rd mags (preban) for the P229, but not for the P226, in .40 cal.
The gun that I shoot the best, and like the least is the P239.
I don't like rubber grips at all and put the factory plastics back on. I don't mind the smaller grip but it does increase the felt recoil in .40 cal. My main complaint about the P239 is that it is, except for the thickness of the grip, almost the same size as the P229! Unless you have very small hands and can't grip the P229, you would be just as well off to get a P229.
The P239 9mm and .40cal are different in size and the .40 will not fit in a 9mm holster. There are a lot fewer choices in holsters for the P239/.40.
I happen to like the current production Sig plastic grips. They are very "grippy" with a sharp texture similar to 80 grit sandpaper and will not move around in your hand like the older plastic grips.
Wood grips are available for all three but tend to run a bit expensive, $100-$150. The wood grips are somewhat thicker than the plastics. This may be a problem if you have short fingers because the reach to the trigger is a little long on all of the Sig "P" series guns. A short trigger is also available for about $35, if this is a problem.
There are three different trigger modes available in the Sig P series guns:
DAK - A longer and lighter DAO trigger. Not available on new guns sold to peons in MA because the trigger pull is less than 10 Lbs.
DAO - A heavier and shorter trigger pull found mostly on police dept guns. (Double acton for all shots.)
DA/SA - Standard double action for the first shot, single action after, with decocking lever.
Tritium (night) sights add about $85 to the cost of a new gun or can be bought from Sig for about $200 separately.
I have bar-dots on the P229 and like them. I have night sights on the other two. Since the P226 was bought as a range gun I probably wasted money having the night sights. I doubt that it will ever be fired in low light. You can't just hammer a set of tritium sights in to the dovetails. The glass vials will probably break. An expensive sight pusher is needed to install them.
You can get replacement barrels to shoot .357 Sig in any of the three models. The P226 and P229 will work with the same mags for either caliber. The P239 mags are caliber specific so you may or may not be able to feed .357s through the .40 mags. I've seen reports both ways. There are also
conversion barrels that allow you to shoot 9mm from the .40 cal guns. Many folks report using the .40 mags for 9mm without any problem. The conversion barrels are reported to be slightly less reliable than a dedicated 9mm uppper and are generally not recommended for serious social purposes.
Sigs need lube to work properly.
They will not function reliably and will wear prematurely if not lubed. The gun will be supplied with a container of grease from the factory. Grease is recommended for range use and oil for carry or light/occasional use. Clean and re-lube 250-300 rds, YMMV.
There is nothing even remotely intuitive about detail stripping and reassembling a Sig P series gun. You absolutely need to buy the Sig Sauer Armorer's Course DVD by Chris Orndorf if you want to detail strip and maintain your Sig P. (or you can ship it back to the factory for their $95 clean & check). The DVD runs about $30.
The Sigs need 800-1000 rounds to break in. The accuracy and trigger pull will start to improve at 250-300 rounds and will keep getting better. If you have a lot more money than patience, there are a
few good gunsmiths who specialize in Sig pistols and will do a trigger job for about $100.
My P239 and P229 were bought used and have glass smooth trigger pulls. I'm working on shooting the P226 in.
I have put about 300-500 rounds through each of these guns without a malfunction of any kind. The ammo was a mix of Speer Lawman 180gr and WWB 165gr. I am quite satisfied with the accuracy of all three guns. The P239 and P229 are way more than adequate for personal protection and the P226 gets better each time I shoot it. The groups have shrunk by about half since I started. I think that it is going to be a good target gun.