Yes, an 8600gt/9500gt (basically the same card) will give you twice the performance of a 9400gt.
An even better option would be a 4670.
It would give you nearly twice the performance of an 8600gt (that is four times the performance of the 9400gt if you are counting) while drawing nearly the same amount of power and costing not much more (
$55 after MIR).
It also has better video decoding and offers an onboard sound chip for output through HDMI.
All of these cards support PS V3 (DirectX 9.0c) as well as PS V4 (DirectX 10.0).
In addition to this, the 4670 supports PS V4.1 (DirectX 10.1).