This is one of the trickiest questions on every gun forum... lol everybody has their favorites and will answer accordingly. Personally, I like .40 but will show some pros and cons for each.
9mm - Pros: least recoil, smaller frames (for baby CC guns), widest selection of ammo (both range and carry), cheaper range ammo (pre-ammo crisis). Cons: smallest expanded HP bullets.
.40 - bigger expanded HP bullets than 9mm, bigger expanded HP bullets from short barrels than .45 short barrels, more small frames than .45. Cons: more recoil than 9mm
.45 - biggest expanded HP bullets with correct load and barrel length. Cons: more recoil than 9mm and .40, 1911 platform guns are less reliable than polymer guns (until broken in, which I think is bogus)
I personally use .40 for my subcompact carry gun because I can control the recoil (which means quicker followup shots) and even with a short barrel, there are several hollow points that have excellent expansion. If I couldn't control the recoil, I'd go with a 9mm gun with the hottest round I could control. If I was more of an OC guy, I'd probably get a polymer frame .45 like the Ruger SR45 or maybe the Beretta Px4-SD. Ultimately, this is a choice everybody has to make for themselves after several hours at the range with rental guns.