If you can get them at the same price, it probably doesn't matter as they are virtually the same chip, only with the 940 having a higher multi. The D0 stepping might be the better processor really, plus, when you look at the normal prices, the 920 is clearly the better buy.
Looks like Newegg discontinued the listing for the 940, but if you have that chance, I would take the 940.
Otherwise, the i7 930 just came out from Intel even though it is just a 133 Mhz speed bump. I believe they are all D0. Cannot find a full review for it on Toms, but they have it listed as the best CPU buy for $295. Bit-tech has a review of the i7 930s and they had their sample clock faster than the 920.
I would guess they'll be similar, though with the D0 stepping, the 920 might actually get higher clocks. The 940 has the advantage of a higher multi though, but I don't think the 920 hits a base clock road-block though.