Typically you won't find huge differences between the premium defensive loads in 9mm, .40S&W and .45acp in stopping power, FPE, or however else you want to measure it. The 9mm is decent, the .40 is a little better, and the .45acp is a little better still.
The .45 leaves a slightly bigger hole (of course).
The .45acp is a big, but slow bullet getting most of its power from mass. This leads to a relatively strong level of recoil, but it is usually felt in the form of a slow, steady push that most people find quite easy to handle (and it is rarely unpleasant).
9mm is small and fast. Small enough that the total recoil isn't great, but the speed pushes it into your hand as a quick, sharp, snap. Not usually unpleasant due to the overall level of recoil.
.40 is kind of the worst of both. The heavier bullet means typically a stronger recoil impulse. It is a fast bullet though, so the stronger impulse is sent to your hand in a quick, sharp, snap. Many more people seem to find .40S&W recoil to be unpleasant than 9mm or .45acp.
The 9mm is a relatively small round. Due to that it can be put in much smaller packages than larger rounds or a larger gun can hold more rounds.
The .45acp is much bigger and either needs larger packages and/or fewer rounds.
The .40S&W is somewhere in between.
All are good rounds. All will serve you well. Do some research (you've started that here) borrow or rent guns in each to try. Find what appeals to you. Still, I think the more important factor is to find the platform (gun) that you prefer than the caliber you prefer when looking at these three options.
Edit: Oh, where are my manners?
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