It is best to use NoData to represent NoData. Any raster operations you do should handle NoData correctly and your statistics will not include the NoData areas. So, yes, use SetNull to set your -9999 cells to NoData and use that grid for the mask, extent and snap raster for future operations.
If you want to dump the raster out for use outside ArcGIS, you can either convert the NoData using the IsNull function to a value, or the conversion too (Grid To Ascii) often allows you to specify a value for NoData cells.