Pros:
9mm - Plentiful ammo from very cheap to very pricey. Sufficient for self defense and easy enough to shoot that a guy could work up some light loads to teach a new shooter with.
.40 S&W - Can handle heavier bullets than 9mm, plentiful ammo, good enough for self defense.
.357 Sig - 125 gr. .355" bullet @ 1350 fps from a 4" barrel (duplicates supposedly ideal .357 Magnum defense load), uses same platforms as .40 S&W (only needs barrel replacement to switch between the two).
Cons:
9mm - Some consider it marginal for self defense, +P+ ammo is hard on guns.
.40 S&W - Can't do anything 10mm can't do and can't do some things 10mm can do. Sort of noisy, ammo not quite as plentiful as 9mm.
.357 Sig - Ammo selection still limited, can make .44 Magnums seem quiet, can be hard on the shooter.
That said, I have a 9mm and a .357 Sig, both of which I like and do not wish to part with. I don't have a .40 S&W, and don't really have a desire for one. A 10mm would be good, though...