Somebody who does a lot of ammo testing once told me that the 135gr .40 rounds are notorious for underpenetration, fragment early, and generally make a shallow and poor wound. They were, in his opinion, the worst choice available. He also commented that "if you want to carry a 9mm (referring to the smallish 135gr bullet), then carry a 9mm". Makes sense to me in that if you're carrying a .40, at least move up to a bigger bullet. Some of the 155 and 165 rounds are pretty hot, velocity wise, and test very well in gelatin. It's going to depend on the barrel length to some extent.
I went with the 180gr Speer Gold Dot, although I'd be equally comfortable with the 165gr Gold Dot. I tried some 135gr Federal PD, and while I don't have a chrono or gelatin, it didn't feel any hotter than some of the 9mm stuff, so really, what's the point?