Even though they penetrate less than the heavier 158's, the 125's still typically penetrate 11-13" in bare gelatin which is still enough to pass completely through an average adult male's upper torso under the right circumstances. Likewise, most modern premium JHP bullets in major calibers (.38 Special/9mm and up) are designed to penetrate at least 12" so they all have the potential for overpenetration under the right circumstances.
Because of this, I've come to the conclusion that the best way to address overpenetration is through tactics rather than ammunition. We're never truly exempt from the rule of knowing our target and what is behind it even in a self-defense situation. If at all possible, one should attempt to take their shot from an angle which will minimize the risk to bystanders. Something as simple as taking a knee or stepping to one side before taking a shot can substantially change the trajectory of a bullet and, under the right circumstances, greatly reduce the risk to bystanders.
Also, bear in mind that while certainly an issue that should be considered, overpenetration is not nearly the bogeyman it has been hyped up to be. Many police departments beat the drum long and hard about overpenetration in order to justify the use of then-politically-incorrect hollowpoint ammunition. The NYPD is a prime example of this as they finally got to carry JHP bullets in 1998 by tabulating the number of officers shot with overpenetrating FMJ bullets fired by their partners. Most of the documented cases of peopole being injured or killed by overpenetrating bullets that I've come across either involved non-expanding bullets like FMJ or LRN or very dated JHP bullets which failed to expand and thus acted like FMJ. Finally, as has already been mentioned, the bullets sailing through the air unimpeded because they missed their intended target all together are far more dangerous than one which penetrates through and through.
Smith, and Wesson, and Me. -H. Callahan
Well waddaya know, one buwwet weft! -E. Fudd
All bad precedents begin as justifiable measures. -J. Caesar