Oh, a simpler version of the caliber war! It depends on what you're doing, but for self defense I generally prefer a smaller caliber. Yeah, it makes a smaller hole, but in the grand scheme of what you actually hit, a larger caliber rarely makes a difference. Penetration is more important, and that is usually determined more by bullet design than caliber (at least to get to the 12" minimum) in a decent SD cartridge. Smaller calibers tend to be lighter, in lighter/smaller platforms, and have higher capacity, while being cheaper and having less recoil. In terms of cost/benefit, they do a good job.
For target shooting, it would depend on the range for me. Close range something lighter so it's easier on me. Long range something heavy so it carries better. Either way, quality is more important than caliber.
If I were hunting I'd want something that hits hard on the first hit without completely pulverizing the animal (in other words, .50 BMG might be a bit much for squirrel). I don't need to spray 10 rounds like I would in self defense, I'd want to drop that animal right there so 1) it's more humane and 2) it's less work to follow it. That said, I don't hunt, because I'm too lazy to get my own meat when I can buy it from the grocery store that's literally a mile from my condo.