Basil,
First, welcome to TFL and to the world of handguns; I hope you will derive much enjoyment form your new interest.
Second, Sig-Sauer's "P" series firearms are among the very best semiautomatic pistols available. I own a P-220 (.45 ACP) and a P-226 (.40 S&W and .357 Sig). Both are wonderful pistols: superb design, manufacturing quality, reliability, durability and out-of-the-box accuracy. You could not do better with a first semiautomatic than any Sig "P" series pistol.
Now for your real question, ammunition:
> There is a wide variety of good target and plinking rounds available; manufactures include: Federal (American Eagle), Remington (UMC), Winchester (White Box), Sellier and Bellot, Fiocchi, Georgia Arms, and others. These are all perfectly satisfactory for general use, practice, plinking, and target work.
> However, I would stay away from the Wolf and American brand names, as well as a few others.
> In addition, since you are new to semiautomatics and will likely want to develop your proficiency, you will probably want to do quite a bit of range work, so ammunition prices become important.
> Many of the brands/rounds recommended above are affordably available at gun shows and at some retail establishments. I use the Internet for much of my ammunition. Well known Internet ammo dealers include Cheaper-than-Dirt, JG Sales, Natchez, and Ammoman. I have found Ammoman's prices, service, unbelievably fast delivery, free shipping, and the wide variety of loads stocked to be superior. Their URL is:
www.ammoman.com.
> Finally with respect to personal/home defense ammunition, you will discover a considerable range of opinions exists among experienced individuals. I use Federal Hydra-Shok, but there certainly are other first-rate defensive rounds available. This said, I urge you to do two things to ensure you make the right defensive ammunition choice. First, whatever you select, make sure it works flawlessly in your Sig by shooting at least 50 rounds without failure. Second, please consider your defensive environment; for example, "carry through" is a real issue in some situations (apartment houses, for instance). Therefore, be sure the type of ammunition, its weight (grains), and its muzzle velocity are all suited for your unique "defensive environment".
Hope this information helps and welcome aboard.