Watched the Rob Pincus DVD from the Valhalla Tactical Training facility in CO, and he shot a variety of handgun and shotgun loads through sheetrock, and than simulated room, hallway, adjoining room, with standard construction material.
Shotgun result: Tombogan is correct, 7 1/2 shot indoors is a downright nasty SD round with very little chance of overpenetration for close neighbors, children, etc,... Video was very good to see and evaluate.
Handgun result: Somewhat mixed, from the .38 JHP to a .45 all do penetrate through 2 walls, the big HOWEVER, moment was NO bad guy taking the shot first. I'm sure the result would be different if this was applied, but if there were a miss, dark, loud, adrenaline,fear;..., valid factors, it is a consideration.
As a "nightstand weapon" I use a 110 gr. Winchester .357 JHP. light bullet and neighbors are not too close., and I have a 24 year old home with cedar siding, and sheetrock. Rem 870 (worst case scenario) staggered rounds, 3 of #7 shot, 3 of tactical 9 pellet buckshot. And my .45 can be made available with Ranger ammo in about 3 seconds, "Light Sleeper"
Just my .02 cents. pre tax, .000001 after.