The Q9400 is $230, the 940 is $165 The intel CPU is better honestly, but not that kind of price tag better it's not even noticeable really.
So, OP do you already have these processors already? If all you have to do is buy a mobo, go with the Intel.
If you are looking to buy CPU and mobo, go AMD but don't get the 940 I would go for the 955 since it's AM3. Or if you are on a low budget get the 925. No on ever really talks about the 925 but I dunno why. It's only $140 compared to the 955's price tag of $175 currently, and it's still a 2.8ghz quad core Phenom II and it's also AM3. I would buy it over a 940 right now for sure since the 940 is still AM2+.