Trade-offs
Deiciding which size is all a matter of trade-offs.
9mm pros:
Cheap
Over-penetration is less of a concern
Less recoil
Probably less wear on the pistol
.40 pros:
More powerful
More confidence due to more power
More wear on the pistol
I have shot an MK40. I wouldn't want to go shoot 100 rounds out of it, but it wasn't particularly bad recoil. I definitely would buy the MK series, I would not get the cheaper CW series. I have compared the two side by side, where the MK40 had been shot significantly more rounds, but was in much better shape. Additionally, my friend with the CW40 has broken two magazines in 6 months. Each broke a different piece. At $35 each, that starts to add up. Getting back to the question, if you were a smaller person, I would buy 9mm due to reduced recoil. If you planned to shoot it a lot, I would buy the 9mm to save money. If this was primarily a CCW, I would buy .40 for the superior stopping power of .40. If this was a nightstand gun, strong arguments could be made for either caliber. Kahr makes a good pistol. I have heard some negative things, but the two data points I have seen have been positive (other than breaking magazines)