I bought my HRR for a few, different reasons:
1. I didn't have a single action revolver
2. I didn't have a .22 revolver
3. I wanted something that could utilize .22 Magnums and liked the idea of still being able to shoot .22LR.
4. Not the major consideration, but the 'cowboy' guns do look cool.
I have used my S&W .22A - loaded up with Stingers - to dispatch o'possums and raccoons that got into my chicken coop on various occasions. Even using near point-blank shots directly to the brain box I haven't been impressed with the performance of that combination as in every, single such instance a second shot has been required to kill the creature and prevent it from suffering a slow, painful death. For this reason, I wanted to 'step up' to something more powerful but wanted to stick with a handgun as such is better suited for this particular use in my situation than a rifle. Now, I have larger caliber handguns, some of which are used for 'social' carry and so have comfortable holsters. However, I really wanted to stick to something in the .22 flavor for this purpose. This lead me to want to be able to use .22 Magnums and solidified my desire for a Rough Rider. But, once I had the RR, what Magnums should I use? I knew that I would want to carry with an empty chamber under the hammer, so that left only five shots. I knew that, for this purpose, I wanted at least the first shot to be a shotshell so that left four chambers. I knew I might have to use this firearm against a range of critters ranging from medium-small to medium, like o'possums and raccoons, up to larger and possibly more aggressive nuisances such as coyotes. Although such use is less likely, as it will often be the only firearm I have on me while in the garden/yard/etc., I wanted ammo that would at least make a two-legged assailant reconsider their actions if that need should arise. To that end, I decided to try a few, very informal tests of a few types of .22 Magnum ammo.
For these tests, I didn't have enough empty gallon milk jugs so I used round gallon jugs that had contained the type of antifreeze that goes into camper and RV plumbing lines when 'winterizing'. Eventually, I want to do more testing with milk jugs and wet-pack newspaper. I tested:
Winchester Supreme 34 Grain JHPs
Winchester Super X 40 Grain JHPs
CCI 40 Grain Maxi Mag JHPs
CCI 40 Grain Maxi Mag solids
Due to a limited amount of jugs, I wasn't able to place very many in line at one time. Also, I fired the Win Supreme from about seven yards but, due to an off-center hit with the initial Super X shot that wasted a few jugs from my limited supply, I moved much closer for the Super X and Maxi Mags (jugs were sitting on the ground which meant I was squatted down and firing 'from the hip'.) Both flavors of Maxi Mag - the JHPs and the solids - went through four jugs and kept on trucking so no example of either was recovered. I don't think the Maxi Mag JHP expanded any more than did the solid. This might be great for some applications but for my purposes this represents likely overpenetration which I want to avoid.
That leaves us with the two Winchester loads. First, the Super X which, fired from a few feet from the first jug gave a little expansion and fully penetrated the first two jugs. I found it lying between the second and third jug and there was no indication of any real damage having been done to the third jug. This is what it looked like:

Now, the Winchester Supreme. Fired from approx. seven yards, it gave what I consider to be very impressive (and almost textbook perfect) expansion. There was no indication of any fragmentation or loss of mass and it completely penetrated the first jug (splitting it from top to bottom upon exit) and was found inside the second jug. This is what it looked like:

I consider both of these to have indicated adequate penetration for my purposes with the Supreme showing better expansion and the Super X indicating better penetration. The outcome of this is that, for now - when used as a yard gun - my RR is loaded as follows:
Hammer sits on empty chamber
CCI .22 Mag shotshell
Winchester Supreme .22 Mag 34 Grain JHP
Winchester Supreme .22 Mag 34 Grain JHP
Winchester Super X .22 Mag 40 Grain JHP
Winchester Super X .22 Mag 40 Grain JHP
I consider these tests to be preliminary and want to do more testing. I'll not be using ballistics gel but I would like to try a few different 'home brew' type tests. Also, these tests were pretty impromptu - it would be easier to use water jugs from 7 yards or so if I come up with something to sit them on other than directly on the ground so that I can take better aim from a standing position.