Check out the Box O' Truth (
http://www.theboxotruth.com/docs/bot3.htm) for some shotgun penetration tests. Even birdshot penetrates several walls, but it will not meet the 12" FBI minimum in ballistic gelatin and is not recommended for self defense use. It's ultimately your decision, but I strongly recommend sticking with standard 00 buck.
Gimmick rounds like flechette, rubber buck, bean bags, etc. should be avoided at all costs. They will not reliably stop an attacker, are too expensive to practice regularly with, and as you mentioned can have legal issues surrounding them. You may only get one shot to save your life, do you want the first shot to be a bean bag?