There's not a lot of difference between .41 and .44 when one peeks under the covers. If you reload you have a fairly good choice of bullet weights from 170gr to 290gr and there are a slew of powders too. You can expand this if you cast your own bullets by having LSWC available in a broad range of weights.
The .41 is .410 diameter while the .44 is really .429 (i.e. 43 caliber). So bullet size isn't that big of a factor. Yet, when I've tested .41 and .44 rounds of comparable power, the .41 Mag gives better penetration (although sometimes marginally). Given the softer perceived recoil of the .41 I'd opt for it over the .44 every time (but I'm biased too!).
.44 Mag fans brag about how superior the .44 is due to a large selection of bullet weights & styles, the power range from mouse-fart loads to full-bore-gonzo Elephant killer magnums. But the .41 Mag is catching up. There are a number of published loads for the .41 -- though most manuals only show the most popular loadings - 175, 210/220 and 240 gr. -- and you can develop your own by careful experimentation. Best of all, you can down-load the round into an effective "light" load for CCW guns like the snubby Taurus 415.
I've heard of, but unable to confirm, some
bwana used a .41 Magnum with a 6.5" barrel to bag an
African Lion about 10 years ago or so, using a 220grain
solid projectile. Either he has more hangin' than I do, was very lucky, or knew what he was doing.