Honestly, I can't wrap my head around the concern with bullet penetration through winter clothing. I don't know where it started, and don't understand why. This is not an attack on the orig. poster, just a statement about the entire idea, which has been around for a long time. I am unaware of any commercial load that is not suitable for penetrating a thick coat and layered clothing while maintaining adequate ballistics to incapacitate.
Understanding the effects of bullets - any bullets - on the body will clear these topics up quick, fast, and in a hurry. With low velocity (pistol) rounds, you are only counting on the damage done by the primary wound track. Basically, any round in this category, whether it expands or not, will incapacitate reliably only if it strikes an organ vital enough to disrupt normal bodily function (cervical spine, head, heart, IVC, aorta, etc.). With this in mind, any regular .38 SPL load will do the job out of a snub revolver, provided it can penetrate enough tissue. Personally, I would look for the highest penetration and disregard expansion characteristics. Contrary to popular belief on gun forums, overpenetration is MUCH better than underpenetration with full expansion, because energy dump in not effective at the velocity of pistol rounds. A common result of E dump in the body is hematoma, due to disruption of small capillaries and fatty tissue. This is far from an incapacitating effect, especially when chemicals like adrenaline are flowing through your body, making it more resilient to injury and pain.
The only time I can see it worth worrying about ammunition performance is with hard barrier penetration, such as wood, thin metal, and auto glass. These barriers can defeat or deflect some rounds easily, but not others. Because we spend a lot of time in our vehicles, and road rage attacks are probably more common than random robberies, I consider the auto glass and door penetration characteristics of a round, which is why I like Speer Gold Dots. I've seen incidents of people shooting through their own windshields and side windows to fight off attackers/carjackers that approach them.
In short, I would not be concerned carrying anything that can penetrate decently, because it will still do that through layers of clothing. I'm sorry for the long and overly-detailed response, but the topic of which load is best is honestly overblown by gun enthusiasts who really have never had any experience with the aftermath of a shooting. Save some $$ and just keep the rounds you normally use.