I use all of the above in my guns.

For Self-Defense a good quality bullet is what I look for mostly. I currently using 115 Grain Federal (9BP) as my protection load, but also some 124 gr +P Speer gold dots and some 147 gr JHP from Federal.

For target shooting, I shoot federal and winchester 115 gr FMJ that I pick up from Wal-mart (inexpensive to shoot).