The SIG Sauer line started in the us in the late 70's with the P220 imported by Browning as the BDA, later by SIG's own US based importer which was to become Sigarms. The P220 is currently avaiable in the US in .45. However, it has been available in 9mm and .38 Super in limmited numbers here in the US. The P225 is or was a single stack, compact 9mm (I don't know if ti is still available new in US now. However there are deals to be had from several wholesalers in the Shotgun News.) The P226 was originally the first SIG double column pistol, introduced at the beginning of the "WonderNine" years. It also became standard with some of the Navy's SEAL teams. Later, came the compact, double column P228, also known in military circles as the M11. It was adopted in limited numbers as a more compact alternative to the Beretta 92/M9. All of these came prior to the .40 S&W. SIG's first .40 was the P229 which was introduced around '94-'95, and was an improved version of the P228 designed to handle the .40's heavier recoil impulse.
The P239 was the last of the totally new SIG designs until the P250. The P239 was a slimmer and more compact pistol designed to replace the P225. Several designs were either improved, ie the P226, which had the same milled, all stainless slide of the P229, and the compact P245, a scaled down P220 in .45 ACP.
The SIGPro's came next, late 90's as I recall, but I really don't have any experience with those, so all I'll say is that they're there, and I've not heard any negatives.
As far as ones to stay away from, in my limited experience, None! Pick the one you like the best in the calliber you prefer, and shoot the snot out of it.
Later!!