If you're talking about the United States, hollow-point rounds are not illegal (in any state that I'm aware of). In fact, you could get into legal problems using full metal jacket rounds instead of hollow-point for self defense due to the possibility of them going through your intended target and causing harm to someone else. The hollow-point round is designed to impart its full momentum into the threat, delivering the best stopping power and decreased penetration.

Edit: Also from the hollow-point Wikipedia article:

|The Hague Convention of 1899, Declaration III, prohibited the use in international warfare of bullets that easily expand or flatten in the body. This is often incorrectly believed to be prohibited in the Geneva Conventions, but it significantly predates those conventions, and is in fact a continuance of the St. Petersburg Declaration of 1868, which banned exploding projectiles of less than 400 grams, as well as weapons designed to aggravate injured soldiers or make their death inevitable. NATO members do not use small arms ammunition that is prohibited by the Hague Convention.

|Despite the ban on military use, hollow-point bullets are one of the most common types of civilian and police ammunition, due largely to the reduced risk of bystanders being hit by over-penetrating or ricocheted bullets, and the increased speed of incapacitation. In many jurisdictions, even ones such as the United Kingdom, where expanding ammunition is generally prohibited, it is illegal to hunt certain types of game with ammunition that does not expand. Some target ranges forbid full metal jacket ammunition, due to its greater tendency to damage metal targets and backstops.