On top of whatever you learn here, I would recommend also checking out www.rimfirecentral.com
-- those guys LIVE
rimfires over there, and they have unique forums for just about everything rimfire-related, including the .22 WMR.
One guy over there did an interesting test using a Black Widow and four water-filled plastic gallon milk jugs, lined up in a row. He used one of the new defense-oriented .22 mags (can't recall which one, but I believe it was Hornady). The bullet went through 3 of the jugs before stopping in the fourth, and showed adequate expansion at the end.
At the behest of forumites, he also did the test with the old stand-by CCI Maxi-Mag hollow-point. The bullet went through the first jug, and IIRC, stopped short of going through the skin of the second jug. Granted, this was a less than empirical test -- but that lack of penetration dissuaded me from the notion of considering the Maxi-Mag HP as any sort of defense round, at least from a short-barreled handgun.