Most ranges may limit FMJ, but allow jacketed hollow point (less penetration). In that case Winchester sells white-box JHPs similar to their target FMJ. 9mm JHP is $12-13 for 50 (most other calibers are $16-17), which isn't terrible, but definitely more expensive than plinking ammo.
My SD/HD load is Federal Hydra-Shock JHP. They're expensive ($25 for 20) but they're premium rounds; you run five through your gun to ensure the gun will feed and fire em, and the rest go in a mag in your dresser or closet and hopefully you never have to use em.