Nice! My daughter and I have a lot of fun with ours.
Avoid the Remington Golden Bullets you find at Wal-Mart. We had an unacceptable amount of FTF and jams with them.
We've had good success with CCI's basic 40 grain LRN's. I bought a big brick of it from Brownells thinking it would last a while but we blasted it all in one weekend
Enjoy your new toy!