It's almost a certainty that you will not find a consensus on the best self-defense loading for one caliber, much less several. That being said, the best any of us can do is tell you what we prefer in the calibers we own.
9mm: My preference, if the gun can handle it, is Winchester Ranger T-Series 127gr +P+. Coming in very close to that are Federal HST 124gr +P, Speer Gold Dot 124gr +P, and Hornady Critical Duty 135gr +P. Were I limited to standard pressure ammunition, Speer Gold Dot 124gr, Federal HST 124gr, or Hornady Critical Duty 135gr would be my choices.
.40 S&W: I neither own a gun in this caliber nor have any particular interest in it, so I really have no preference.
.45 ACP: I prefer Federal HST 230gr +P though I would feel quite comfortable with any premium JHP so long as it is 200gr or heavier.
.38 Special: My favorite is Remington 158gr LSWCHP +P followed by Speer Gold Dot Short Barrel 135gr +P. If restricted to a standard pressure loading, I'll take Hornady 110gr Critical Defense or a good, old-fashioned 148gr HBWC loading like Winchester Super-X or Federal Gold Match
.357 Magnum: I usually use Remington 158gr SJHP though I've also used Winchester Silvertip 145gr and Cor-Bon 140gr JHP. In my S&W N-Frames, I will occasionally use Hornady 125gr Critical Defense or Cor-Bon 125gr JHP
Also, if you're interested, this is what I use or have used in other calibers:
.22 Long Rifle: CCI Velocitor 40gr JHP
.32 Auto: Fiocchi or S&B 73gr FMJ
7.62x25 Tokarev: S&B or Winchester 85gr FMJ
.38 S&W: Handloaded 200gr LRN
10mm Auto: Winchester Silvertip 175gr
.44 Special: CCI Blazer 200gr Gold Dot, Federal Champion 200gr LSWCHP, or Winchester Silvertip 200gr
.44 Magnum: Remington 240gr SJHP or Speer Gold Dot 240gr.