Here's a video of a CCI 40 grain Velocitor into ballistics gel from a Ruger 10/22 rifle:
http://www.youtube.com/watch?v=xEDo_PbAvJc
And here's the same round from a Walther P22 pistol:
http://www.youtube.com/watch?v=pFsDDgztf50
Out of the rifle, the hollow point opens up and dumps all of its energy into the gel, while out of the pistol the .22 punches a hole all the way through.
No, I am not volunteering to be shot by either one, and a .22 on you is better than the .44 magnum you left at home. If you are just an ordinary citizen carrying concealed for protection, I wouldn't have any qualms about carying a .22 if the choice were that or nothing.
But I would recommend the largest caliber you can comfortably carry.
I too have noticed different results, offhand I believe the Subsonic works better in the Ruger pistol where Thunderbolt works very well for the 10-22.
I have had mixed results using super duper .22 ammo, usually it does scatter all over the place. But a smart person will realize the barrel twist rate plays very much with heavier bullets. Faster twist is needed for heavier bullets.