It depends on what you want to use it for.
Nine has more round capacity. I can get a ten-round Glock-26, in a smaller size than a six-round Glock-36. And for some people, its the amount of lead you can throw downrange. (Spray and pray, its called BTW). Nine is also a good round if you just want a gun that you can shoot at the range. Lower recoil, cheaper, so you can go longer.
.40 has become, more or less, the "Police round". its about halfway between the .45 and the nine, both in size and price. And, as it becomes more common, chances are the price will continue to go down.
.45 is the caliber that will never die. Fifty, a hundered years down the road, there will still be guns being made for that round, and there will be plenty pre-exisiting guns out there. In fact, there is a reason why the new Joint Service Pistol (or whatever they are calling it) will be a 45. Ballistics don't lie.
So, really, what do you want to use it for? There is no real "one round" that is perfect for any situation.