Without ammunition, your firearm is just a heavy stick.  Ammo matter less if you're just at the range plinking for fun.  However...

When it really counts, like in personal defense type situation, you want ammo you can rely on.  For the longest time, Hydra-Shok seemed to be at the top of the market for self-defense ammo.  A new leader seems to have emerged with Texas-based RBCD (http://www.rbcd.net/).  The RBCD "smart" ammo is said to be a "blended metal" round.  The bullet will only deform and expand when heat is applied to it. 

In practice, it means that the bullet will punch through metal (like a car door, for instance) but will not over penetrate a piece of dry-wall.  That's a huge benefit for a self defense round.  One of the things you need to be most aware of when firing a gun or rifle is not only hitting your target, but being aware of what is beyond your target.  Ideally, your bullet should never over-penetrate your target so that there is no chance of hitting any unintended objects/subjects.  If you load your home-defense firearm with bullets that don't penetrate dry-wall, you have less of a worry of accidentally hitting little Jimmy next door instead of the murderous thief that just broke into your home.  Controlled penetration (as well as other factors) is one of the reasons why some people choose shotguns as their primary home-defense weapon (buckshot has less of a chance of punching through exterior walls).

The way the RBCD round works, in a nutshell, is that when it comes into contact with materials that wick heat away from the bullet (I.e. metal conducts heat way) it stays intact because the bullet stays relatively cool.  On the other hand, when it comes into contact with a material that concentrates the heat around the bullet (like drywall, or that home invading murderous thief) it immediately expands to enormous proportions, thus transferring maximum amounts of energy to the target. If your bullet goes clear through your target, much of the bullet's kinetic energy will not be transferred to the target.  In a self-defense type situation, you want stopping power, and stopping power is highly dependant on kinetic energy transferred to the target.

Check out this video for more info on this RBCD round.  It's pricey, but hopefully you'll never have to buy these beyond the occasional test round for the range (you should test your firearm with every type of ammo you intend on carrying it with).  I've put a fair amount of .45 RBCD through my HK USP CT.  I've never had any kind of jam or other failure.

Use the cheap stuff for target practice and plinking. Use RBCD when your life or someone else's depends on it!