I think the 239 is one of the best CCW handguns out there. It is small and thin, extremely reliable, and much more accurate than it has any right to be. (For instance, I shot the DEA qualification course with one - not mine - the other day. It was the first time I had ever held this particular pistol, and the course calls for shots from as far as 50 yards. I passed with a 96%...)
Of course, there are the trigger options (DA/SA, DAK, Sig short trigger, short reset trigger, etc), so most shooters can find something that they really like in that regard. There are the aesthetics - it's a pretty pistol and can really be "gussied up" with grips and finishes or left as a piece of "working art" in all black. Recoil is very managable, especially in 9mm.
The only possible downsides are capacity and weight - there are lighter pistols in the same category out there, and the single stack limits the rounds on board. Neither of these is a deal breaker for me in that sort of pistol, but they are considerations.
As for caliber - I have no problems with 9mm, and so would stick with that. Ammo is cheaper, recoil is lighter, and you can squeeze in an extra round into the magazine. I don't know anyone who uses .357SIG in the 239, but I do know many folks with the 9mm and .40 versions who are VERY happy with their choice.