More often than not, yes, but do keep in mind that penetration is as much a result of bullet design as weight, and, of course, velocity. Clothing can also have an effect.

Example #1; .380 JHPs. I've tested several and read the gel test results on numerous other sites. There are several loads that penetrate ~8". They are designed to expand to a large diameter. Hornady and CCI/Speer's engineers got it right in that their bullets are designed to expand to a certain point (~.42") and stop. They sort of "half put on the brakes" and thus generally reach 12" - 14" penetration. If they fail to expand ~ 17" is the norm. Also look at the Hornady XTP. If an XTP is tested alongside most anyone else's JHP of equal weight, caliber and velocity, it will usually outpenetrate the competition. That's because the XTP series were designed to be super deep penetrators compared to other JHPs (and part of the reason they are so popular with hunters). Corbon's Powerball line up tend to be quite shallow for their caliber, although part of how this is achieved is with lighter bullets that lose more weight as they ditch the plastic ball in their nose.

Example #2; heavy clothing can retard expansion enough to stop a bullet that would have fragmented from doing so, and thus cause the bullet to expand to a greater diameter. The result would be less penetration. I have found that the Federal .44 magnum 180 gr. JHP behaved that way in my tests (see the thread Perma-Gel Test Results, in the ammo forum).Sometimes, however a bullet will expand less, or not at all due to heavy cloth and as a result penetrate deeper.

As far as the .357 is concerned, it appers to me that Remington and probably Federal. have created a line up of cartridges that offer a wide range of performance. 110s are designed to have less velocity, milder recoil, less muzzle blast, and offer shallower penetration (probably ~ 10"). The 125 grainers are designed to offer 12"-14" and perform optimally against humans. Full power 125s are generally the most powerful loads in .357. 158s are generally a little deeper penetrating and a good compromise load that can work well for humans, and work well enough on deer. The 180s are deep penetrators designed for hunting deer and really offer no advantage for self defense over lighter weight bullets.