One that is still hanging around shelves but was banned a few years back, is the Black Talon. I believe it was from Winchester, folks usually want $25 for 20 online for these. Theye are steel core ammo, meaning instead of folding up, they are hard and will drive through thick stuff. Millitary steel core ammo will do the same thing. Yhey were banned from importation and production to the civilian market, but it is not illegal to pocess any that our currently floating around, just illegal for the companies to import or manufacture. The Govt. got hot because some more powerful calibers had the ability to penetrate a bullet proof vest.
Unless you have a truely whimpy caliber, most handguns will penetrate thick jackets with standard HP ammo. I am assuming you would like to know since winter is arriving and the bad guys are wearing thick winter coats. If you are truly paranoid about penetration, go with a heavy bullet for the caliber and get upwards of a .40, or a magnum. 10mm, .45, .41 mag, .357 sig, .357 mag are just a few. I would stick with standard HP ammo though, fmj ammo has the tendency of wounding, since the energy isn't fully delivered to the target. I would speak to members of your local law enforcement agency, they would be very helpful. In my oppinion, nothing more than a 9mm dawning a 147 gr. hp would be needed for a coat, but oppinions very greatly.