A 4" barrel is a good choice for an all-around gun. You've got enough sight radius and weight that accurate shooting shouldn't be too difficult, yet its still compact enough to carry if you're willing to dress around the gun a bit.
As far as ammunition is concerned, start with standard pressure .38 Special and work up through .38 +P, low-end .357 Magnum, and full-power .357 Magnum stopping wherever you're comfortable. In a gun the size of a GP100, you might be surprised how well the recoil can be handled.
With regards to overpenetration, so long as you carefully select a good hollowpoint load the .357 Magnum can be made to penetrate the same or less than a .38 Special. This is because the higher velocity of the Magnum allows for more aggressive expansion which, in turn, retards penetration. Regardless, you need to be careful about your background because just about any centerfire handgun bullet can penetrate multiple layers of sheetrock quite easily.
Originally posted by SIGSHR
Some argue the longer barrel gives an enemy more to grab onto. I say squeezing the trigger will take care of that.
That kind of depends on which way the barrel is pointed and whether or not the BG grabs the cylinder too don't you think?