At one time I would have said 158 gr lead SWC- go for penetration. The HP rounds that were being loaded "back in the day" just did not expand at snubby velocity.
However, there are some much better loads being made for self defense today. Personally partial to Speer and Hornady, but there are other good ones as well. Check the ammo makers websites, and look for Self Defense rounds for a snubby.