I started out carrying a S&W 642 in .38spl +P. I keep it loaded with Remington 125gr. +P Golden Sabers, it's got a respectable recoil with the +P loads but I like it. Speer developed their 135gr. Gold Dot specifically for snubbies so that might also be a consideration.
The next load I intend to try is 158gr. +P LSWCHP. I prefer the big, heavy bullets as a rule and this is a load preferred by Stephen Camp - that's a pretty good recommendation in my book.
If I were going to get a pocket sized .357 it'd be either a S&W 60, 649 or Ruger SP-101. For .357mag I like the steel frame guns that help absorb recoil.