For range use, it doesn't matter. Experiment with different rounds/weights and see what shoots best in your gun.
For self defense, my personal preference is for medium-to-heavy bullet weights for caliber. In 9mm, I would consider that to be in the 124-147gr range. I keep my Beretta 92FS loaded with 147gr HST, as it's established a good track record in actual shootings. I would have no problem carrying it in a compact or subcompact.
I would suggest Googling Dr. Roberts' ammo recommendations. I would be ok with just about anything he recommends, though I do have a preference for HST or Gold Dots.
As far as bullet weights, generally speaking, the heavier JHP will penetrate deeper because the increased mass retains their energy/momentum. Lighter bullets, because of their higher velocity, will usually expand faster and penetrate less. After shot placement, penetration is generally considered the most important part of effectiveness. The good thing about JHP in the medium-to-heavy weight range is that they tend to exhibit a good balance between expansion and adequate penetration.
FYI, there's a guy on YouTube who did some good gel tests of 9mm ammo in subcompacts. I think his channel was called, "ShootingtheBull," or something like that (sorry, it's been a while since I've seen it). While I prefer loads with an established "street record," gel tests can be informative.