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.
Stopping power: The power some guns have to make you stop what you are doing and get your wallet out.