A few points,
While heavier bullets do indeed penetrate somewhat deeper, even lighter bullets in most of the common service calibers (.38 Special, 9x19, .357 Sig, .40 S&W, and .45 ACP) still manage to achieve 12"+ penetration with the exception of extremely light-for-caliber loadings such as 90grn 9mm and 165grn .45 ACP. What must be remembered about the FBI standards is that they're intentionally over-penetrative in certain circumstances. For example, even though I'm a fairly large individual, my torso straight on in the "thoracic triangle" is roughly 10" from the anterior surface of my sternum to the posterior surface of my spine. Given a straight-on shot, even a "shallow" penetrating bullet that "only" goes 8" would be enough to easily reach vital organs.
However, because a straight on shot cannot be guaranteed, the FBI intentionally made their penetration criteria a bit on the deep side to compensate for oblique-angle or through-extremity shots. Therefore, even though a heavier bullet may penetrate a few inches more, so long as the lighter on still achieves the FBI's standard it will still have sufficient penetration.
Of course, there are certain circumstances in which deeper than normal penetration might be required such as an extremely large individual (and I do mean extremely large). In these cases, however, there really isn't enough difference in the penetration of the common service calibers between light-to-medium weight bullets and heavy bullets to convince me that it would make a significant difference. If you think you may be likely to be confronted with a situation in which very deep penetration may be required, I think you'd be better-served by considering either FMJ ammunition or, more preferably, a more powerful cartridge such as .357 Magnum (158grn or heavier), 10mm Auto (180grn or heavier), .41 Magnum, or .44 Magnum as these can offer both satisfactory expansion and significantly deeper penetration than most of the standard service calibers.
Another point is that of kinetic energy and temporary cavitation, possibly the two most misunderstood topics when it comes to terminal ballistics. There seems to be two opposing camps on the subject: the Marshall/Sanow "high energy/big temporary cavity" camp and the Fackler/FBI "deep penetration/permanent cavity" camp. Both offer both good and poor insights and the truth of the matter, I think, lies somewhere in between. I agree with the Fackler/FBI camp insofar as I think penetration is more important than energy or temporary cavitation. Where I disagree with them is the point at which they discount energy and temporary cavity altogether.
As even Dr. Fackler conceded, the temporary cavity generated by handguns can permanently damage certain tissues, but the bolded words in the preceding statement must be noted. Fackler and the FBI prefer to simply assume that the bullet will strike one of the more elastic anatomical structures and, therefore, temporary cavity will have little or no effect. This was, in the late 80's and early to mid-90's the safer assumption as the bullet designs of the time offered either deep penetration or high energy and vigorous expansion, but not both in the common service calibers. Today's premium bullets, on the other hand, are much better than those of 15-20 years ago and today's premium loadings allow you to have both energy/expansion and adequate penetration.
Where the Marshall/Sanow crowd gets it right is that temporary cavitation (which is directly proportional to kinetic energy transfer) can have profound effects if (and that is the key word in the statement) it occurs in the right tissue. The problem with ballistic gelatin testing is that the human body is not homogenous and therefore different organs and tissues will react to a bullet in different ways. Elastic or air-filled organs and tissues such as muscle, lungs, or most of the GI tract will not suffer significant damage from temporary cavitation. However, inelastic or fluid-filled organs and tissues such as liver, spleen, and the heart can indeed suffer profound damage from temporary cavity. Also the effects of temporary cavitation are fairly localized: temporary cavity can't do any harm if it doesn't reach anything vital.
The heart in particular has the potential to suffer damage which would cause very rapid incapacitation. If the bullet were to pass though a chamber (particularly a ventricle) that was full of blood, the temporary cavitation would displace the blood. If the fluid was sufficiently displaced, it would be so beyond its ability to compress (remember fluid is much less compressable than air). At this point, the fluid would seek the path of least resistance which, in the case of a ventricle, would be the atrioventricular valves and chordae tendineae since they are much less elastic and much more delicate than the myocardium. With, in effect, "blown out" AV valves, the heart's stroke volume will be severely decreased and thus blood pressure will be severely reduced most likely to the point of loss of consciousness.
So, what does it all mean? It means that so long as proper shot placement and adequate penetration are not sacrificed in order to achieve it, the loading which delivers the largest amount of kinetic energy, and therefore creates the largest temporary cavity, is IMHO the best. Again, the bolded part of the previous statement is very important. A 70grn 9mm bullet at 1600fps would have plenty of kinetic energy and, with a JHP, would likely expand and transfer that energy very aggressively. Unfortunately, such a bullet would likely overexpand and/or fragment and therefore penetrate rather shallowly. The end result would likely be a very gruesome-looking but relatively superficial wound.
Where things get tricky is that cartridges with lots of energy typically have lots of recoil, and recoil is not conducive to fast and accurate shooting. A .500 S&W certainly has a great deal of energy, but most people cannot shoot one nearly as quickly and accurately as they can a smaller caliber like a 9mm. However, going too small is also problematic. A .38 S&W is quite easy for most people to shoot quickly and accurately because of its very modest recoil, but it has very little energy and most people could shoot a .38 Special, which is usually considered to be a much more effective cartridge, almost as quickly and accurately from a similar gun. What it boils down to is a personal assessment of what is the most powerful cartridge that an individual can shoot with adequate speed and accuracy. My personal upper limit is a .44 Magnum in a 40oz+ revolver so that is what I carry whenever it is practical to carry a gun of that type, YMMV.
