I own a Sig Mosquito and a Walther P22. I'm going to post a whole head-to-head comparison between these two guns with lots of photos and whatnot, which will include photos of the guts of the guns, how they disassemble, clean, how they compare to each other in size, how they compare in size to other guns, etc. Look out for that sometime around next weekend (February 3) if you are considering buying one.
I can tell you right now that my reviews are not going to be negative. These guns are both FUN

to shoot. There are always trade-offs with everything though. Both are "ammo picky" but they both perform very well with CCI Mini Mags. I have also used CCI Velocitor with good results. With these higher-end copper plated .22LR rounds (Mini-mag: 7 cents each, Velocitor: 10 cents each - whereas a normal lead .22LR round is more like 3 cents each) you will get about the same reliability as your average 9mm autoloader... maybe 1 hiccup of some kind every 200 rounds - very minimal. Regular cheap ammo like Remington Thunderbolt, Remington Game Loads, CCI Blazer, CCI Standard Velocity, American Eagle/Federal.... you will experience some problems with these rounds, but I still shoot these cheap rounds and have lots of fun with these guns.
Another thing with these guns is that they dirty-up in a way that is just WAY beyond what you are going to get with your average 9mm, .40S&W, etc. The .22LR ammo is very, very dirty and you have to spend a lot more time cleaning the gun and making sure it isn't turning into a gunpowder caked mess of blackness. Personally I love cleaning my guns, so this is not a problem in my book, but if you like to keep it simple and not really clean, buy a Glock in 9mm and it will work out a lot better for you.
Both guns have fixed barrels so they are inherently accurate, but neither is as accurate some of the .22LR guns from Ruger, Browning, etc. where both the gun and the barrel is much bigger and heavier and there are fewer moving parts and the parts that do move, move less. Both the Walther and the Sig use a skinny barrel with a barrel sleave outside of that, which makes it look like something a little smaller than a 9mm barrel but is not (I'll post some good pics of this).
The P22 is supposed to be 75% the size of a P99. The Mosquito is 90% the size of a P226 - so it is much bigger. The P22 is a very small gun, but that is part of it's charm for me. The Mosquito is also much heavier than the P22.
Anyway, I'll have more to say later. Mosquito is a cool gun. Just clean it right, use Mini-mags and don't expect it to be a bull barrel target pistol.