Velocity seems to be the "holy grail" for a lot of folks when they decide to choose their handgun ammo, and they tend to gravitate towards +P or even +P+ loads. As mentioned above, velocity is not always good or useful. This is something to keep in mind when deciding between a "fast" 127gr +P+ or 147gr load in 9mm for example. Another factor is the ability to control the follow-up shot. If you have two loads which both perform about the same, you might consider going to the slow/heavy bullet due to the fact that the slower load is more easily controlled. Consider the data from Winchester in regards to their 9mm 127gr +P+ load (1250 fps) versus the 147gr load (990 fps) in the Ranger-T line:
127gr = 12.3" penetration and 0.64" ED
147gr = 13.9" penetration and 0.65" ED
127gr = 12.5" penetration and 0.68" ED
147gr = 14.5" penetration and 0.66" ED
127gr = 12.2" penetration and 0.68" ED
147gr = 14.0" penetration and 0.66" ED
In a handgun, the "light and fast" philosophy is taken to extremes by exotic ammo like Extreme Shock and RBCD. Please refer to the Exotic ammo FAQ for reference.
BARREL LENGTH plays a role in this as well. While +P loadings may not be required in most cases, they can compensate for short barrels and the resulting loss in muzzle velocity. For example: In 9mm, the 124gr Gold Dot is a good choice in barrel lengths of 4" or more. In compact guns of 3.5" or less, a higher-velocity loading would be advised. This is Dr. Roberts take on the issue:
Actually, all our testing has traditionally been done in 4" barrels for 9 mm, .40 S&W, and 4.25" for .45 ACP, although recently most of the organizations we test for have been asking for 5" barrel data for .45 ACP. There is really no difference in performance between a 3.5" and 4" barrel in 9 mm and .40 S&W. In .45 ACP, we see a reasonably significant change in performance going from a 5" to 3.5" or less barrels. Since almost all viable pistols in 9 mm and .40 S&W use 3.5-4.5" barrels, there are no "short barrel" worries for serious end-users. Likewise, almost all .45 ACP platforms worthy of hard use use barrels greater than 4", so again, the short barrel question is moot...
Please be aware that if you venture into guns with a barrel length of less than 3.5", you're in uncharted territory.