Well, .40 S&W is predominantly a semi-auto pistol round, and for revolver use normally requires a moon clip for extraction purposes. That said, a moon clip type arrangement makes ejection virtually fool proof.
I'm not seeing any revolvers chambered for .40, so I'm guessing the only one availble is the S&W N-frame revolver, which is chambered for 10mm, but can use clipped .40 ammo, as well.
The .41 Mag. normally comes in a larger to much larger gun than either the .357 or the .40. It's also a LOT more powerful, but on the flip side there are fewer ammo choices, especially for defensive purposes. The .41 Mag. can also be hard to learn to shoot because the recoil is quite a bit stiffer, muzzle blast can also be quite a handful. And, if you're coinsidering it in one of the very lightweight guns, recoil can be a KILLER.
The .357 Mag. is probably the single most versatile caliber now on the market. In some ways it is a generalist round, but unlike most generalists it does a lot of things really well -- target, plinking, defense, and even hunting. Ammo availability is virtually endless, and if you factor in the .38 Spl., it increases ammo choices even more.
I really think for general defense and shooting, a .357 is about the perfect gun. Most people can handle the recoil without too many problems, practice is cheap, and you have a huge universe of ammo options.