SiG's have pretty diverse diet and can tolerate just about anything you want to feed it. the exception to the rule seems to be only with the Mosquito, CCI MiniMags seems to be the general concensus as to what to feed it.
Most people shoot ball ammo for range sessions as it's generally cheaper than shooting HD/SD ammo. Winchester White Box more commonly referred to as WWB comes in 50 or 100 count boxes. For HD/SD, any of the currently produced Jacketed Hollow Point (JHP) will perform just fine. What is available in your locality may narrow the choices for you. Contrary to some claims, ammo is still hard to come by and moreso in certain calibers depending on where in the country you are at.
I've not been impressed with anything I have tried in .40 so specifics on ammo choices I will defer to someone else. I WOULD recommend a thorough cleaning of the gun AND the mags, inside and out before your first range session. Especially the mags, just do some reading here and you'll understand.
Welcome and enjoy your SiG.