I should also point out a couple things that no one else brought up. First the .357 sig uses the .355 bullet, but the 125 grain Gold Dot it the type used in the .357 magnum modified to .355. The .355 bullet 124 gr Gold Dot it the 9mm type. The two type though differant are meant to operate at differant velocities.
Second. On an all-things-being-equal basis the .357 is a more accurate round than the .40 S&W which despite being a fine round it not know for accuracy. Now don't write and tell me that your .40 S&W is super accurate, because that's not what I am saying. Take two of he same gun, put a .357 sig barrel in one and a .40 in the other. Work up a good load for each using the same type of bullet, etc, etc and the .357 sig will be more accurate.
Third a little thing called Sectional Density. If you are shooting a 135 gr .40, and a 135 gr .357 sig (though I have not seen one I am sure there is one somewhere) the .357 bullet will be longer, this means more bearing surface in the rifling, and less air resistance passing through air. When the bullets hit their targets the bullet with the greater SD will penetrate deeper.
Fourth Flatter shooting. A person with a little experience and some practice can easily hit a paper plate at one hundred yards with the .357 sig. I have seen it done and done in myself. We had a number of people at the range try and hit a 100 yard target with the caliber and most were able to hit the target in only 1-3 shots. we tried this will the .45, .40, and 9mm and though a few people could tag the target after a few rounds by walking them in most just wasted the ammo. I have total confidence that i could head shoot a Terrorist, or insurgent at 50 yards with the handgun (I have several .357 sigs A Glock 32, Glock 22 w/ conversion, and sig P226) I like the most, which is in this caliber my P226.
Strangely the .357 sig does not act in the same manner as teh old .357 125 grain load. The Magnum 125's would penetrate about eight inches and fragment, dumping a large amount of energy into the target. The .357 load enters, expands and pentrates (with the 125 gr Gold Dot) about 14 inches and as a large permanate and tempoary wound cavity. So though the external ballistics of the two loads are very close, their therminal ballitsics differ, yet both are very good at stopping bad guys. Bringing the .40 S&W into the mix its also performs (with 135gr loads) in a simular fasion to both of the .357 loads on the terminal end of things. The only differance that of the three loads the .357 sig does what it does even if passing into a car through glass, where as teh 135 .40 and the 125 .357 magnum both dump lots of energy and break up when hitting auto glass. so for the average person any of these three loads will do a great job (or as well as a handgun round can) in most situations. The penetration through auto glass however is why many police departments went to the .357 sig load. Just a simple fact that alot of police shootings happen around cars.
Since your life if the one on the line the choice of which load you carry is yours. I would feel comfortable with any of the three. I hope I helped informed your decision.