I have the Sig P239 in .40 and at 25oz, dry, that thing is just too heavy for the punch it packs. It is also top heavy and in .40 its pretty snappy under recoil. Frankly, any small .40 pistol is going to be a handful and unpleasant to practice with.
You don't say if you are recoil sensitive but a lot of women are so if you plan to share this gun with one, you should look at a 9mm like the Glock 26. The Kel-Tec P-11 is cheap and light but the trigger is hard to master.
My current personal favorite, and I have all the above to choose from, is a S&W Airweight .38. Small, light and in an IWB it almost disappears. However, its not too pleasant to shoot with defensive loads. I figure if I ever have to draw it in anger, I'll never notice the recoil but I have to grit my teeth when practicing with it.