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FMJ is full metal jacket. This is what is typically used as "practice ammo" because it is less expensive than defensive rounds
JHP is a jacketed hollow point. This is what most people use for defensive/home protection rounds.
Typically you would purchase JHP in 20 rounds to a box and FMJ would come 50 rounds to a box (although larger quantaties are available)
165 vs 180 grain This is a personal preference. I always go bigger but thats just me
If you own a Glock, they don't like lead ball type ammo (lead cast with no jacket) as it fowls the barrel. At least the early version owners manuals said not to use them. Not sure about newer Glocks as I haven't owned one for several years now.
As for wall penetration, that is a tough call. There can be wall penetration on virtually any type of wall, brick, siding, wood, etc. The best I can tell you is that in the case it hits the fan, you most likely will not be worrying about wall penetration. However, furniture placement, and a well rounded defense plan with different scenario (s) could aid in shooting the "right direction". My family has a plan for several scenarios depending where someone would break in (windows, doors, etc.) each of these plans hypothetically will lead the bad guy into a line of fire of our choosing, not his. We practice this as well as escape measures on a monthly basis (was done weekly until we became familiar with them.