Like Billy said, the RWD factor is one to consider. You COULD drive a RWD sports car, but it'll be tough on snow.
Anyway, I'd say S2000 all the way. If you don't like four doors (like me), there really is no better car for under $40k. The 350z has been proven to have major issues with both the suspension and transmission, neither of which has been confirmed as fixed, even for the 05 model year. Even excluding that point, havinga convertible and a 8k redline is fun.