Bullet weight is one reason that i preffer a 38 special to a 9mm. Newer loads seem to penetrate better, but there are no hard and fast rules. brassfetcher .com, and firearms tactical are two sights on the web that give you some insight as to the penetration of a given round, if they happen to have tested them. There is nothing wrong with shooting a bullet into water filled milk jugs, and comparing it's performance to a known load, although all you get is a comparative measure. Read the FBI protocol, and other papers on the matter, and just plain use common sense. A bullet can't do it's job if it breaks up or expands too violently. By the same token, one that penetrate too much(ball?) is not tuned to live up to it's potential.
In different parts of the world, where there are many fewer choices in ammo, people use military issued FMJ rounds in .45, 9mm, and .40 S& W and don't have all these dicourses, discussions, and arguements. They just shoot until the BG quits moving, and call it good. Who's next? Wher do they want it, head or heart?