For handgun ammo on the range or simple plinking, I load my own. For serious centerfire ammo, and depending on the caliber, I tend to go with CorBon DPX. I'm lucky that J.D. Jones of handcannon fame has his shop just a few miles from me, and is a Cor Bon dealer. Cor Bon's .380 +P ups that caliber to more than just a suit wrinkler
.
My 1911's get a diet of Winchester White Box (It's cheap, but dirty) on the range, but gets Winchester's original Black Talons for defensive purposes (yep, I still have several boxes of the stuff
.)
For my .45 Long Colt, I like Buffalo Bore's standard pressure, heavy loads. Their heavier stuff is great for Ruger's monstrous frames, but they'll ruin my S&W Model 25.
Rifle ammo varies, depending on what I'm going to do with it. For banging away at the range, I like Federal's .223 value packs for my AR and Mini 14. Federal's brass is great for reloading.
When it comes to .22 LR, I'll plink away with anything except Remington, which is far too inconsistent in their loads. For the most part, I stick with CCI or Winchester.
Somebody mentioned CCI primers. Truthfully, I've had horrible luck with them. I've found them to be very hard, and I've thrown several boxes away for being oversized.