chic,
I've found that ammo made by Double Tap, Buffalo Bore, and Cor-Bon tend to be good performers. I prefer Cor-bon because of their 100% copper bullets; I don't like the idea of packing lead in my clothes every day.
As others have asked, have you already bought the gun? Was the choice made after several possibilities that you tried at a gun range, or by recommendation? Either way, if it's your first gun, expect to buy others as time goes by as your tastes & skills change.
+1 on the idea of having a 20 or 12 gauge shotgun for home defense. They're more effective than a handgun and don't take as much practice & training to get good with. My wife chose a 20 gauge Remington model 870 for herself; we keep it loaded with birdshot and it lives in a fast-opening safe in the bedroom.
It's a good idea to take classes on gun safety, concealed carry, and general self-defense if you haven't already. They're fun & build good skills.
Edit: Often times, high-performance ammo like the stuff you're looking for can cost a lot. A couple of ways to get around this and still shoot enough to keep up your skills are to 1) practice using a mix of cheap ammo & performance ammo, or 2) reload your own bullets. The latter takes time but is an interesting hobby. If you were looking for 9mm instead of .380 acp, I'd recommend a Lee Loader - these only set you back $20-30 and have everything you need to load your own ammo in one caliber.