Actually, if you're worried about penetration the 9mm is more of a hazard than the .45, .45 is a much lower velocity round, it's designed for shock/stopping and is more likely to break up on impact than to pass through, another issue with the 9mm that you don't get with the .45 is deflection, 9mm have a much greater tendency to deflect off things like windshields and other angular surfaces. I've owned both and would always take a .45 over a 9mm for my carry piece, I do love the .40 though and you can get them in both semi auto and revolver flavors now, not to mention, they are a cheap alternative for plinking if you own a .44mag like me because you can put them through the same weapon.
These days though, when I do carry, it's my .38 derringer because it's easier for me to conceal and is light enough that I'm not always worried about it pulling my pants down.
If I were to get back into some semblance of good health though I'd probably go back to my .45 or get a smaller frame one than the 1911.