These days, shotgun ammo is far from the generic birdshot, buckshot and slugs that we used to pretty much take for granted. There have been a good many technological changes that make a real difference in patterning and performance of shotgun ammunition, and you need to educate yourself before you spend major money on lots of shotgun shells.
Personally I prefer tight patterns in defensive shotguns, and the simple way to get good patterns out of the open choke (CYL or ImpCyl) barrels most riot guns sport is by using a buckshot load with the new FliteControl wad. There are low recoil and standard velocity offerings in various pellet sizes and pellet counts from three manufacturers I know of so far with FliteControl - Federal, Hornady and Speer. I don't mind recoil and would rather not sacrifice either pellet count or velocity to get reduced recoil, so my current choice for buckshot is Federal LE127 00, a 9 pellet 1325 FPS load with hard alloy copper plated pellets. Of course this is premium ammunition and the price reflects that, unless you find it on sale. You'll have to work out what you want your shotgun to do pattern and performance wise, and select your buckshot ammo accordingly.
In short, if you want wide open patterns, just buy the cheaper buckshot with unprotected soft lead pellets like S&B or Rio Royal. That will pretty well get you what you want with no muss fuss or bother. We keep a case or three of S&B on hand in case we ever need a genuine scattergun approach to things.
If you want moderately sized patterns, the standard offerings from Federal, Remington, Winchester, Ficcchi or any other 'brand name' should do. Usually the mid-priced loads offer harder lead pellets, shot cups or plastic sleeves to protect pellets from contact with the bore, buffering between the pellets to protect them from each other, good wad columns to soften the impact of firing, etc. These days you can pretty much guess what kind of patterns you'll get with a given buckshot load, despite the fact that every shotgun barrel is still a law unto itself as far as patterns go. There is still no way to know for sure what your particular shotgun will do without actually pattern testing different loads however. I prefer to do my patterning at 25 yards, given that we live in the country and a shotgun will likely be the "go to" long gun. As a general rule I want to know that the buckshot load I choose will keep all its pellets on a sheet of paper at 25 yards as long as I do my part. Hold a sheet of 8.5X11" notebook paper in front of your chest and you'll see what I mean. Of course you may well have different ideas about what you want your shotgun/load to do, and you'll have to make up your own mind about that.
As far as slugs are concerned, I want two things from a slug - accuracy and penetration. I've been happy using Brenneke KO slugs for several years now. The Brenneke slugs are hard lead alloy, sharp shouldered slugs that cut a neat cookie-cutter hole and penetrate deep. They are also acceptably accurate in every shotgun I've tried them in so far. Too many of the traditional Foster-type slugs as offered by Winchester, Remington etc. are soft lead and will flatten too easily without penetrating hard objects - great for deer hunting, not so much for turning cover into concealment. We keep Brenneke KOs in the Sidesaddles of the defensive guns here in case either greater range than buckshot allows is needed, or more penetration than buckshot can deliver is needed.
Best advice I can offer is to unbox that new gun, field strip it according to the owners manual and give it a good thorough cleaning to get all the packing preservative out of it before you even think about shooting it. Pay particular attention to the bore and chamber. If you have a relative or friend who is familiar with field stripping an 870, it might be a good time to have them over to lend a hand and offer some pointers.
Buy a 5-round box of a selection of different brands/loads of buckshot and slugs for testing. Get some light birdshot loads (1 ounce of shot, or 7/8 ounce if you can find them) for your introductory sessions with the new shotgun. Buckshot and slugs kick, no doubt about it. You want to start out with something that won't beat you up to the point you develop a flinch. Often people report problems with certain loss leader type birdshot loads sticking in their chambers after firing, Winchester seems to be a pretty regular offender in this regard though the only real problem I ever had was with some Fiocchis in one particular barrel. Go figure.
I've used
www.ammotogo.com and been happy with their service, also
www.ammoman.com as well. Do some testing to see what your gun likes, and you like, before you start buying case lots though.
And look for some formal training in using a shotgun as a weapon, once you get the basic chops to running the gun safely down pat. If nothing else take a look at some of the videos offered by well known trainers that are available. You can see a preview of Clint Smith's offering at
http://www.youtube.com/watch?v=FhgwHQCJwWw , I have that one and recommend it. Tom Givens' shotgun video is good too, see
http://www.rangemaster.com/ and look for the 'Books & DVDs' button. I have Tom's video, and it's a good one IMHO. But my personal favorite instructor is Louis Awerbuck, as far as I'm concerned Louis is the Yoda of fighting shotguns. See
http://www.amazon.com/Combat-Shotgun-Video-Louis-Awerbuck/dp/0873649370 or
http://www.paladin-press.com/product/Combat_Shotgun/Shoulder_Weapons for that one.
Stay Safe,
lpl