The difference between .22's, .38s, and .45s (along with 9mms, .40s, .357s, 10mms, etc) is primarily the size of the bullet, and correspondingly the speed, and also the damage done by each round. Yes they can all kill, but they actually do so in different ways, to a certain extent. The smaller rounds (.22, 9mms, etc) generally have higher muzzle velocities, and both penetrate and exit the body leaving smaller wounds. This does not make them any less lethal - the holes may be small but a smaller bullet is more likely to ricochet around the body. There are stories of people dying of .22 wounds because the surgeons simply couldn't find/plug all the holes.
Larger rounds on the other hand usually have slower muzzle velocities, but impact the body with more force. This is esp. true for fragmented rounds which break up on impact and literally start shredding anything in their path. Thus if you want to drop someone on the first shot, use a .45, but if you want them full of holes use a 9mm or even a .22 if your evil (the CIA would use silenced .22s as a method of choice for executions - one round to the back of the head and its very, very quiet).
As for shotguns you get lots and lots of holes, depending on the distance. A typical shotgun round (12 ga .00 buck) will spread about 1 inch for every yard after exiting the barrel. Thus the closer the target, the more centered the pattern, and the more devastating. A close range .00 buck hit will destroy anything in its path, while farther back it will pepper the target with more superficial wounds. Another common round, the slug, is simply a solid mass of lead that will impact much like a very large bullet does - massively with a lot of stopping/destructive power.
To summarize it all the round of choice depends on the situation and the desired outcome. Not sure what your fantasies revolve around, but I hope this helps. Feel free to PM me if you have further/more specific questions.
