I have to admit, I'm surprised (and learning all sorts of nifty stuff from this thread, for the record) that a 9mm round will go through a wall. I was under the impression that 9mm rounds were so cheap because they had next to no real stopping power compared to .22 rounds and up.
.22 and up? Just so you know, if someone refers to a ".22" they're almost definitely referring to .22 Long Rifle, which is an extremely cheap (as in $20 for 500 rounds) rimfire round that's generally the weakest commonplace cartridge you can buy; there are lower power ones, like .22 Short, but that round is almost totally obsolete and only gets bought if you want a very quiet gun that requires no hearing protection or if you bought the smallest available pocket pistol.
You might be confused by rounds like .223 Remington, the civilian version of the 5.56x45mm NATO round that's used in pretty much every assault rifle that doesn't have a name starting with AK. The difference between rifle rounds and pistol rounds is that rifle rounds usually have a longer, bottlenecked cartridge case (which lets them pack more powder for a higher velocity) and a pointed "Spitzer" bullet that has improved aerodynamics and allows for them to be effective at longer ranges. There's more than just bullet diameter for determining what your cartridge is going to do.
But yeah, 9mm has plenty of power. Especially if you load it with hollow points, soft points, or plain lead bullets that will expand upon impact. A 9mm looks a lot more deadly when it creates an 11mm hole in your body. 9mm (or more specifically, 9x19mm Parabellum) is so cheap because it's the most popular combat pistol cartridge in the world.
The debate between 9mm and .45, including all of the alternates people have like .40 S&W, .357 Magnum, .357 SIG, and so on, is a debate with no answer. The cartridges are both very different:
* 9x19mm is smaller in diameter, but has a much higher velocity that gives it a flatter trajectory and greater penetration.
* .45 ACP is slower and will usually have a lower effective range, but it has a larger bullet and thus will (theoretically) create a bigger hole on entry.
The problem is that people try to simplify the debate down to purely these points and ignore everything else. Sure, .45 creates a bigger hole than .358......if you're shooting standard FMJ ammo that won't expand on impact. If you fire a hollow point 9mm and a full metal jacketed .45, the 9mm will probably leave a bigger hole because it expands.
And "stopping power" is a nebulous concept that probably doesn't really exist. There are so many variables in wounding effects that any scientist who tried to actually create a theory around firearm effectiveness would throw up his hands and chug straight scotch after putting his hypothesis to the test in a real world scenario. People have been hit by the mythical .45 straight in the heart and kept on going until they killed the guy who shot them. People have been hit by the puny little 9mm in the same spot at the same range and instantly dropped to the ground and stayed there until they bled out. People have been hit by .22LR and bled out before they got to a hospital; some of them immediately fell and began twitching, others didn't notice they had been fatally wounded until they passed out.
Besides, most of the complaints about 9mm's "stopping power" come from the military; soldiers, by the Hague Convention, aren't allowed to use expanding bullets against human targets because it's "inhumane." The power they get from their guns depends more on larger diameter and the ability of the round to tumble. The 5.56mm round has been derided since its inception for being "underpowered", but that's just because it doesn't reliably tumble on impact within a certain range depending on your barrel length (and soldiers have been using shorter barreled guns for their convenience recently, which compounds the problem) and they can't use expanding rounds like civilians and police do.
The Hague Convention restriction is frankly a ridiculous notion anyway, as use of exclusively non-expanding ammo means that you're creating smaller holes; you're probably killing the guys anyway, as standard military regulations are based around killing your target rather than just firing until they fall over, but you're killing them slower because the wounds are causing less bleeding and bodily damage. Police and civilians have no such restrictions, and it's actually recommended that you use expanding rounds to make the target (whether it's a deer or a crazy guy with a knife) drop in their tracks faster. It's based less around being "humane" and more about making the war look prettier, with neat little holes instead of ragged open wounds.
But anyways, there's too much to consider in terms of defensive rounds to simply write off any cartridge as "too weak." People have used .22 pistols effectively because they're skilled enough to use it, typically by immediately shooting the target in the brain. The most important part of choosing a defensive cartridge is that YOU can use it effectively; a .45 may be more powerful at close range on paper, but the heavier recoil (thanks to the heavier bullet; bullet weight affects recoil more than you'd think) means that some shooters can't easily recover between shots. A Walther PPK/S chambered in .380 ACP, as far as some shooters are concerned, is puny and wouldn't hurt a fly. But their opinion doesn't mean much when they have a .380 caliber hole drilled through their skull.
Proper shot placement and rapidly firing multiple rounds on target will drop anyone, regardless of the bullet.