The M&P40 is a great .40 pistol; like the H&Ks, it was built around the .40-cal cartridge, and then 'scaled' for the 9mm. Very easy-shooting with the .40. Unlike the Glocks; I got quite spoiled on my M&P, as it was the first .40 I ever got, and could never understand why everyone complained about the 'snappiness' of the .40, lol.
I also own a USP40c, and will say go for the H&K over the M&P. Love the Smitty to death, but...yeah...H&K
I like the decock on it, I like the aestethics a bit more, and it's insanely accurate out of the box. Some people like less bells and whistles, and the M&P is great for being a very simple pistol; passive safeties, no manual safety, and all the switches are out of the grip area.
Avoid the PX4. That's just my .02, but there it is. Terrible ergonomics, heavy trigger, very bulky, and bad texturing on the grip. Especially if this is possibly a CCW, avoid the PX4.
The P239 may be a tad out of your price range; they start around $950-1K for the 'basic' models.
If you're considering an FNX, just get the M&P
Once again, just my opinion, but they're very similar, and I think Smith did it better. I also didn't care for the placement of the manual safety on the FNX; it really does get in the way of a standard combat grip, and I've seen reviews of it being easily actutated while shooting.
For a gun that may wear many hats, so to speak, check out the XDs 4.0 as well. It's got a 4-inch barrel, but very light and slim, easy to dump in an IWB holster for carry, but the 4" barrel is still in the 'accurate range gun' territory. I'm thinking the XDs will be next up on my own list to buy.