I run Bridgestone Potenza RE970AS Pole Position tires and am happy with them, they are quite and sure footed. Good traction in the rain and fairly good in the snow. The reviews on TireRack.com are pretty good. I actually bought these for my Audi S8 and then moved them to the M45 when I made that change.
There is a pretty good site for comparing tire sizes:
http://www.miata.net/garage/tirecalc.html
Select the old calculator and you can easily compare all the tire sizes you are looking at on one string to compare them. Yours are as follows...
tire size / Sidewall / Radius / Diameter / Circumfrance / Revs per mile / Difference
245/40-19 / 3.9in / 13.4in / 26.7in / 83.9in / 755 / 0.0%
245/35-19 / 3.4in / 12.9in / 25.8in / 80.9in / 783 / -3.6%
255/40-19 / 4.0in / 13.5in / 27.0in / 84.9in / 746 / 1.2%
255/35-19 / 3.5in / 13.0in / 26.0in / 81.8in / 775 / -2.6%
Not sure if you have the 19" rims stock or you changed yourself. If you changed then you may find a combination that is closer to original size...the concern would be what it does to speedometer, trip computer etc.
let us know what you decide.