Comparison
I've got both lenses. I had the Canon 400mm f5.6 first and it is undoubtedly a fantastic lens. I've had the Sigma 500mm f4.5 about 5 months and I've developed a love hate relationship with it. On the one hand, I find that it misses shots I could have got with the Canon 400 due to the tighter depth of field and the fact that it is a lot trickier to use off a tripod ( I do use it with a monopod reasonably successfully, but the canon is a lot more forgiving and lighter).
On the other hand, I've taken my best shots this year with the Sigma. From the tripod with a jobu gimball and a 1.4 converter it has the extra reach and the extra light that the lens lets in means the shots are less grainy than with the canon, although there is a slight softness to the output from the sigma compared with the canon.
As you've said it's a lot more expensive than the canon 400 f5.6, but a lot cheaper than the Canon 500. I think this lens and big glass in general exhibits the law of diminishing returns, in that once above the spec of the 400mm f5.6 you're paying a lot for a small improvement in functionality and reach. A 1.4 converter and getting used to manually focusing your 400mm f5.6 will achieve a lot, it depends on whether you want the extra reach of the 500mm and auto focus with a 1.4 converter.
I would say that you would be advised to use a body with focus micro-adjust if your using the Sigma for photographing birds as the dof is really small on a bird up close (unless it's an eagle) and you may need to tweak it to maximize the effectiveness of the lens.
Would I buy it again knowing what I know now, I'm honestly not sure, the canon 400mm f5.6 prime is such a good lens and if I could have only one of them it would be the canon 400. I'm afraid the only way your going to find out is by using one and living with it for a while. Like you, I'd already decided that the canon 500 was out of my price range, so if I was going to try big glass, then the Sigma was my only realistic option. It's not going to be quite as good as the canon equivilent, but for a third of the price what can we expect.
I've been out photographing deer this month and the canon has been the weapon of choice, this weekend though there was a Great Grey Shrike on my local patch and the Sigma delivered.
Here's some of my best with the Sigma
http://www.flickr.com/photos/60528629@N03/5867436432/in/set-72157626352674405/
http://www.flickr.com/photos/60528629@N03/5893948802/in/set-72157626352674405/
http://www.flickr.com/photos/60528629@N03/6295235061/in/photostream
All the best
Andy