The .38 hasn't seen as much in the way of development with newer loads and bullet designs. The 9mm very much has.
The common .38 special +P loading fires a 158gr bullet at just south of 900fps (278ft/lbs energy, if that matters to you). Provided you're shooting a 3" barrel (or longer), that round will expand even though modern 4-layer denim covered gel.
The more common 9mm +P loadings fire a 124gr bullet at 1100-1200fps (~ 360ft/lbs energy, again if that matters to you). Many rounds will expand in 4-layer denim covered gel. Vaunted +P+ loads (like the 127gr Ranger T) will increase these numbers somewhat.
Both rounds have varying loads available with overlapping performance.
The mentioned .38 load (the so-called "FBI Load") is fairly well thought-of in most circles.
Actual damaged matter caused by the bullet (so-called "crush cavity") is more or less the same for both calibers, AFAIK. The 9mm has more energy, make of that what you will. Anything that has less than 500-550ft/lbs of energy, IMO, should be considered solely on the weight of its ability to penetrate and upset (for the purposes of producing a larger bullet) alone. When you get up to the 500-550 mark, then energy can be looked at, though it still takes a back seat to penetration and bullet upset. Again, IMO.
The choice between 9mm and .38 spl should be made *entirely* on platform and not what wonder-bullet the ammo-company of the month is pimping. If you like a Glock, choose 9mm. If you like a Colt revolver, choose .38 spl.