Currently the contract is providing us with Speer 125gr GDHP in .357 SIG. Previously we were issued Federal HST 125gr JHP in .357 SIG, and for a short time we received some Winchester Ranger-T 125gr JHP in .357 SIG.
I like his videos for comparisons of different types of ammunition, so I will put these links up for the two most recent types of ammunition I carry.
Speer
http://youtu.be/G5FOFnJVS0E
Federal
http://youtu.be/3kLkpIljrNA
For range work, I shoot .40 S&W, Montana Gold 155gr JHP over 7.2gr of Power Pistol. It gives me a similar felt recoil to my duty ammunition for a much more reasonable cost per round.
I've found that most name brand JHP ammunition will give you what you want as long as you can put it on your intended target. The biggest problems seems to be finding enough quality ammunition at a reasonable price. I recommend you get what you can find and afford.
Be safe.