Remington* and Amscor ammo I've found to be priced somewhat reasonably for 10mm Auto, and both seemed to shoot very accurately. No, neither are 'real' 10mm ammo in the sense of living up to the legend, but they're decent for getting started.
I owned a P220 45 Auto and have shot Sigs a bajillion rounds or so, and love shooting them. While I've never shot the 10mm Sig, I have to think it's a great gun, and you'll love it. For about 30% of the cost of that gun, roughly, you can probably set yourself up to reload 10mm, and you'll break even on shooting in a very short time.
My impression in a few years of hanging around the sites is that 10mm holds a very special place in the hearts and minds of shooters and shooter wannabe's alike: it's a cartridge that is believed to hold mystical ballisticals...like some sort of physics-defying round that has one Reality seldom if ever met since the time of dragons and magic swords.
Despite the silly fantasies of it being a polar bear killer, it IS a fantastic cartridge. To enjoy it to the max, I strongly second the notion that you really DO have to handload for it, if you want to a) shoot the cartridge loaded to something close to what it was intended to do, and b) not shoot expensive and potentially untested boutique ammo loaded to fantasy ballistics in the belief 10mm Auto was somehow intended to be 44 Rem Mag.
*I've found that the nickel-plated brass that Remington's 10mm Auto comes loaded in is very nice brass for heavy duty handloads. While I find Starline's 10mm auto brass squirts out of the chamber like Play-Doh from the Play-Doh Factory, even with 90% spec loads, the Remington brass will still look like brass. So, in some ways, it's almost worth it to buy that high-priced ammo for the good shooting and the good cases.