Honest to goodness 40mm HE rounds are made of Unobtanium AFAIK.
40mm is a Destructive Device. 37mm is typically a flare gun and not registered. I have seen some 37mm launchers papered as DDs so they can fire lethal rounds.
In my opinion the real use of either one is very limited. The cool factor is pretty high though.
"9mm has a very long history of being a pointy little bullet moving quickly" --Sevens