These days, the most common bullet weights for self-defense 9x19 loads are 115, 124, and 147 grain JHP bullets. The 115 grain are likely to penetrate the least, the 147 grain loads the most. +P loads typically show more expansion, but less penetration than standard ammo. I think the most popular weights today are the 124 and 147 grain bullets.
Federal HST, Speer Gold Dot, and Winchester Ranger T are good ammo choices.