@Renaldo, Mostly it matters what you want to achieve. The bullet weights generally step up as you go from 9mm to .45, but that’s not the only thing to consider.
Different bullet types have different effects, for instance a hollow point is going to leave most of its energy in what you hit, doing more tissue damage, than a jacketed round which is more likely to pass right through (over penetration) and delivers much less of its energy to what you hit.
Lucky Gunner has done pretty extensive testing on types of bullets and calibers, here’s a video that shows how they tested:
Here’s the link to the data itself:
there’s also some pretty good discussion here: