Please search for Self Defense ammo on this forum. There are a number of threads with good discussion of self-defense ammo, brands, types, sizes, etc.
It seems to be a universal opinion that HP's are dramatically better than FMJ or TMJ for self-defense.
I personally think the Federal Premium HST 124gr and the Winchester T-Series and the Hornady XTP and the Magtech HP are the best reasonably priced HP ammo in 9mm or .40cal. (I am not sure you can get the Magtech HP in .40cal).
Please check gun-deals.com - User-Submitted Gun & Ammunition Deals for a competitive listing of all ammo, including HP ammo. You can sort by bullet type as well to see just HP. I usually go to sgammo.com for 50 round boxes of HST or T-Series, which saves a bit of money. But there are other good deals on those brands on the internet and at gun shows.
You can also get +P and +P+ ammo, but I am not a fan, being that I want the round to stay in the criminal and not go beyond. But there is a lot of other opinions on +P in this forum, which you many enjoy reading.