Some pistols -- especially small ones -- are finicky about particular ammo brands and loadings. I don't think you'll have this problem with your SD9VE.
For self-defense loads, I have read good things about a number of JHP rounds -- Federal HST, Remington Golden Saber, Speer Gold Dot, Winchester Ranger, Hornady XTP, etc. All would work and work well in a SD9VE.
Less expensive ammo (e.g., full jacket or plated bullets) from almost any manufacturer can be used for the range. I like the suggestion, above, of not buying too much of any one brand or loading until you see what you like. I shoot the same weight bullet (124 grains) in practice that I have in my self-defense ammo. I hand-load 9mm, which saves me a lot of money and makes me less vulnerable to periodic ammo shortages.
You can decide, too, if you like steel-cased (usually Russian-made Bear or TulAmmo) or aluminum-cased ammo. Most of the major American ammo companies are now selling aluminum-cased 9mm range ammo, at generally lower prices. (I believe Winchester has started selling aluminum-cased ammo through Wal-Mart, which means we'll see a lot of it on the range). Nothing wrong with aluminum or steel cases -- although I suspect steel can be a little hard on the chamber and feed ramp if used in large quantities. YMMV. I prefer brass anyway, and I prefer you use brass-cased ammo too, because I pick up a lot of other people's cases on the range for re-loading, and aluminum and steel cannot be reloaded!
Bottom line, your SD9VE should work with almost any ammo.
