My favorite for just outright fun is the .357 Mag. Load it heavy, load it light, load it hot, load it mild, load it with black powder, any way you do it, it's the most versatile handgun cartridge going.
My favorite for concealed carry is the 45ACP. However, I think the 1911 platform's thinness and the shrunk wrapped magazines designed around those big fat cartridges have more to do with my attraction than do the ballistics. One day I will get a .38 Super and test this theory.
My favorite for home defense is the 147 grain 9mm JHP. Blasphemy? No. The Mag is too punishing indoors, and call it spray and pray if you like, but all bleary eyed and putting it together on the fly, I want the 20+1 chances my Beretta PX-4 affords me to fight to a long gun if necessary.