Normally I use Winchester White Box FMJ 165 grain for range work. However, I may have to change that after what I encountered yesterday. I'm shooting a M&P 40 Shield. I had a round that wouldn't feed properly (wouldn't go quite all the way in the chamber). I'm thinking...what's going on with this silly thing. Then I saw the reason why. It had a huge chunk missing out of the top of the brass casing, almost all the way down to the bottom of the bullet. Had it been just a hair lower, there would have been a hole and all of the powder would have fallen out. Not only was the brass missing, but just under the missing section, there was a slight bulge. No wonder it wouldn't load. Two things strike me as alarming. First, how did this get past quality control at Winchester, and second, why didn't I see it when loading the magazine? Could this have caused a catastrophic failure of the weapon if it had loaded and fired? Perhaps. I'm just glad I saw it before attempting to load it again.
But to answer your question, as others have said, there are lots of good range ammo options to choose from. I use WWB because it's generally cheaper at my local retailer. I will be watching it more closely from now on, though.