Self defense
.22 WMR ammunition is not specifically manufactured for self-defense, so you will not find self defense loads in any of the manufacturers' brands listed below. This is because while there are some "deep concealment" handguns (notably the mini-revolvers from North American Arms) that are chambered for the .22 WMR cartridge, no rimfire cartridge is ordinarily recommended for self-defense. The gun makers are giving the customers what they want, while the ammo makers are constrained by the physical reality that no .22 WMR cartridge is a "man stopper."
While no .22 WMR load is really adequate for self-defense, any gun is better than no gun at all. So, if a .22 WMR rifle or pistol is all that is available, it makes sense to at least use the best ammunition available for the purpose. According to the statistics that I have seen, that is the 40 grain jacketed hollow point bullet. The top example is the Winchester Super-X load,
snipped from
http://www.chuckhawks.com/ammo_roundup_22WMR.htm
I have a .22 Magnum rifle and the ammo my gun (Marlin 883SS - pretty gun) likes best is the Winchester Super-X 40gr JHP. I get 1" to 1 1/2" groups at 100 yards shooting from a solid rest with them, and that's good enough for me.
With that said, the next gun I buy will probably be a .17HMR varmint rifle. I've been reading lots of good stuff about that cartridge. Highly susceptible to wind drift, but accurate to 300 yards with a good gun.