If you live in an area that goes over 100F a lot, then definitely you should consider a 40wt, however it truly does depend on the engine. With some engines you might be better off simply going to a higher 30wt oil, something around 11.5 to 12.0. I think the engine design, and mileage, definitely play a big part in which viscosity works best.
I think every engine has a sweet spot which shows it's best wear for instance. So when it's new that might be an Xw30 oil with a viscosity of 10.5 to 11.0cst. But at 100k, this engine might then be better off in the 11.5 to 12.0 range. This is exactly why the high mileage oils are formulated a bit thicker, and why oil consumption goes down when you switch to them.
At some point this year I definitely want to experiment with running a slightly thicker oil in my Firebird, but it will be something that is either a very thick 30wt, or very thin 40wt (between 12 to 13cst, give or take) As always, I'm changing my mind ten times a day as to what tests I want to run, but I may consider 10w40 Pennzoil (which is formulated at 13.5cst, so it's a thin 40) for a short run at the end of the summer.