Conventional handgun rounds do a very poor job of penetrating ANY hard cover, whether its brick, cinder block, or automobile sheet metal. Select a quality hollowpoint, hit what you aim at, and you won't need to worry.
I think most handgun calibers would be hard pressed to penetrate to the exterior of your home. If you are forced to fire you may find that the brick is destroyed, but that should be due to the transfer of energy into the brick, not the pentration of the bullet through the brick. Modern hollowpoints are not designed to penetrate in the manner you are asking, they are designed to expand quickly, and deposit the maximum energy into the target. If in fact the projectile managed to pentrate, the velocity would be so low that it would have little energy remaining. I have seen cinder blocks shot with .40S&W pistols (I don't participate in or condone this action, but have witnessed it), and they will destroy the brick. However these were loose bricks, not walls with mortar and studs and sheetrock, and insulation. And normal clay bricks have thicker walls than cinder blocks. I think you will be fine with any pistol, shotgun (esp. buckshot, I like federals 2 3/4" Tactical Low Recoil 00 Buck), or assault wepon (AR15, AK, uzi, etc). An M1, M14, etc with their larger rifle rounds may prove a problem.
Hope you never have to find out what will/will not penetrate!
A 30 '06 will usually penetrate single layer brick or cinder block. So will 7.62x51, at least much of the time, but in either case, there will be lots of unpredictable bullet deflection and considerable energy loss.
I don't believe ANY standard semiautomatic handgun calibers will reliably penetrate brick. Maybe .454 Casull, or even .44 Magnum and .357 Magnum in heavier loadings would (haven't tried), but with considerable energy loss.
Handgun calibers are truly wimpy!
As long as you don't have to worry about sheetrock penetration (which anything will penetrate, as in apartments and hotels), any semiauto caliber and cartridge choice should be as "OK" as anything so innately unpredictable as the effects of firearm discharge can be.