johne: I will go with greenjeans and his recommendation for Sellier and Bellot ammo. It is new production, brass cased and reloadable. Even if you do not reload, yet, S&B is a good buy.
Not being too familiar with the Sig numerical designations I am going to assume that the 229 is a 9mm. The difference in grain weight runs from 95 grains to about 160 grains in the 9mm. The average weight bullet for the 9mm is between 115 and 125 grains. Most 9mm ammo is jacketed for feeding reliability. Military ball ammo is fully metal jacketed. Plus P ammo is rated at a higher pressure (hence, plus P) and shoots a (most often lighter weight) bullet at faster velocities.
Some plus P ammo comes with hollow-points or soft nosed bullets. My recommendation is to utilize the full metal jacketed bullets to familiarize yourself with your pistol and for general practice, then carry the plus P loads you are going to use. Just make certain the pistol functions properly on those loads and that they hit in the sam eplace your practice loads do.
Also, you have to remember that there is no magical bullet you can use to defend yourself or your loved ones. Almost any bullet will do if you place it properly, but that takes practice, practice and more practice.
And, I 2nd the recommendation for Cheaper than Dirt but, don't forget to check out the Shotgun News for deals, often there are quite a few. Oh, you may also wish to avoid the use of laquered ammo - some of the European ammo uses lacquered steel cases - they are less expensive to manufacture and are not reloadable but they may foul your pistol. HTH. Mikey.