I have a .357 bedside, and a .45 not a foot from my hand here at my computer desk, so I guess I choose both.
I don't worry about penetration a whole lot. Why? Because any round worthy of self-defense status will penetrate. .22's will penetrate. Buckshot will penetrate. I know some penetrate less than others, but I think the point is moot given that most of us have to worry about maybe 6 sheets of drywall at most (that is three walls worth, by the way) and any worthy SD round is going to eat through that and still be lethal with no particular problem.
I am definitively NOT saying don't worry about it, but in my opinion it is an issue that is far, far, far too overblown.