Buying a gun for defensive purposes isn't like buying an insurance policy; it's more like buying a set of golf clubs. An insurance policy gets locked in the safe and will work fine when you need it, so long as the premiums have been paid. If the golf clubs sit in the garage and never make it to the range, however, your game will never improve. Many gun owners seem to think that the mere possession of a firearm will render them able to contend with whatever life-threatening situations the world dishes out. History tells us otherwise, supporting the fact that individuals rarely (if ever) "rise to the occasion" under stress. Instead, they generally default to the skill level they have mastered. Hence, if you want to perform when it counts, training and practice are key.
Notice that I distinguished between training and practice as they are not the same and should not be considered as such. "Training" is the process of learning a new skill, procedure, or tactic. "Practice" is the repetitive action that ingrains the training into the subconscious mind. If you want to take gun ownership seriously, you must engage in both training and practice at some level of regularity. Oh, and you, the guy who thinks he doesn't need training—you don't know how much you don't know. The greatest shooters in the world, civilian and military, rely on regular training by great instructors in order to maintain and improve their skill levels, just as top-tier professional athletes receive coaching on a regular basis.
Now that we've established that training and practice are important, let's talk about choosing the right ammunition for the task. Let me start by saying that some of the best "ammo" for practice is not using any ammo at all. Dry-fire practice, performed safely and correctly, is an absolute key component in becoming a great shooter. That said, you've got to make some noise if you really want your skills to progress.
In terms of pricing and availability, the past decade has shown us an ammunition market that we haven't seen since the shortages of World War II. Stocking an adequate supply of training and practice ammunition for the volume of shooting that you plan to do over a matter of months isn't a bad idea, given that massive shortages seem to happen just about every election cycle these days. Trying to find the right box of ammunition on your way to the range may leave you empty-handed so plan and buy ahead.
As for price, I would personally avoid much of the bargain-priced surplus ammunition that is on the market. I've found it to be dirty, sometimes corrosive, and generally hard on guns. If you are seriously price conscious but want to shoot a large volume of ammunition throughout the year, invest in some reloading equipment and learn to roll your own. Save the surplus ammo for use in surplus guns.
When it comes to selecting ammunition for training or practice, the bulk of my shooting is done with quality U.S.-made ammunition such as Federal Premium's American Eagle. This ammo is reliable, relatively inexpensive, accurate, and the cases are reloadable. American Eagle cartridges are usually loaded with a Full Metal Jacket (FMJ) bullet, which means that no lead is exposed at the nose of the cartridge. This type of bullet design usually feeds reliably in semi-automatic firearms, and is far less likely to cause a feeding malfunction than other bullet designs.
American Eagle is loaded in all common handgun (and many rifle) chamberings, and it's usually available in multiple bullet weights. After 20 or so years of being self-taught, I got some real instruction. The first time I attended a defensive handgun class, I did so with American Eagle's 115gr. 9x19mm load. Over the course of two days, I fired over 1,500 rounds without a single malfunction. Numerous classes, many matches, and over a decade later, I still shoot a great deal of American Eagle ammunition each year.
Shooting indoors can also influence the appropriate ammunition choice, many indoor ranges have specific requirements to reduce the amount of lead that is in the air. American Eagle's Indoor Range Training (IRT) line is designed to be used in indoor ranges, and it significantly reduces airborne lead. These bullets are Total Metal Jacket (TMJ) designs that completely encapsulate the bullet's lead core with copper to prevent exposure as the round exits the barrel at high speed and under immense heat. Full metal jacket handgun rounds traditionally leave the base of the bullet exposed, which can release airborne lead upon firing. While nothing to fear on an outdoor range under reasonable exposure conditions, it is something to think about in the confined spaces and limited ventilation of an indoor range.
Steel targets are a fantastic training tool since they provide instant feedback to the shooter. These days, at least 90% of my handgun shooting take place using steel targets. When using steel targets, hollow point ammunition should not be used due to an increased risk of a bullet fragment ricochet. Depending on the circumstances and range rules, FMJ such as American Eagle is usually appropriate for use with steel targets at reasonable distances. Some training environments require special "frangible" ammunition that immediately breaks into small particles upon impact with a steel target.
In circumstances where frangible ammunition is indicated, American Eagle's Syntech is a great choice and is available in common handgun cartridges including 9mm, 40 S&W, and 45 ACP and include non-toxic primers. Syntech uses an innovative synthetic jacket that's easy on barrels, produces minimal fouling, and has no metal jacket to cause fragments.
High-volume shooting is a crucial part of developing and maintaining skill with a firearm, but it's not the complete equation. It is vital that we know how our particular firearm will function with actual ammunition that we will load for defense purposes. To maximize the effectiveness of a handgun round we must take advantage of the premium ammunition choices available. Bullet construction has grown by leaps and bounds over the past few decades but premium bullets only work if we use them.
If you are going to legally and ethically use deadly force against another human being, it means that someone is likely to die or suffer serious bodily injury if the threat is not incapacitated immediately. We want a bullet to penetrate deeply enough to pass through barriers such as drywall, car windshields, clothing, bones, and human tissue. We then want it to expand enough so that it does maximum damage to the anatomical target at which it is directed. We are asking a lot of the bullet, but technology has produced products that are up to the task. Today, such bullets will usually be a Jacketed Hollow Point (JHP), monolithic hollow point, or a bonded design. Federal Premium produces a variety of defense ammo including the Hydra-Shok, JHP, HST, and Guard Dog lines.
Once we choose a defense load for our firearm, it is vitally-important that we learn two things: whether that ammunition is 100-percent reliable in that firearm, and what the point of impact is with that load. Reliability is paramount when we are talking about a life-and-death encounter. We simply cannot risk a malfunction under these circumstances. Firearms and ammunition are mass-produced with varying tolerances and geometries. Every load is simply not going to feed, fire, extract, and eject out of every firearm: regardless of the manufacturer's best efforts to the contrary. Some firearm designs are more reliable than others but everyone makes a lemon now and then. The old standby rule was to fire 200 rounds of your defensive load out of your firearm to ensure that it was reliable. I'm not sure where this number came from and I can't comment on its validity. Suffice it to say that whether you fire 50 or 500 rounds of your "duty" ammo out of your firearm, make sure that you are totally confident of its reliability and compatibility. While you're at it, take careful note of where this ammo shoots in-relation to the sights on your firearm at various distances and make whatever adjustments are necessary.
Ammunition choices can be overwhelming, but they don't have to be. Break down the correct ammunition for the task at hand, whether it be general training or practice, indoor shooting, frangible loads, or testing premium ammunition. Buy quality products from known brands such as Federal Premium, and shoot as often as you can.