RE: 9mm 115 or 124 grain
The 115's are far more common. There is no real reason to use the 124's unless you are shooting Hydro-Shocks or the load mentioned above.
As far as self-defense loads go, my Glock 19 shoots the Federal 9PB load and the Winchester +P+ 115's very accurately. The +P+ load is not commercially available (law enforcement only) but is a real screamer similar to a 110 grain .357 load. I found a couple boxes at a gun show a few years ago and I keep a couple of clips worth on hand.