My very first was a P226, in 1990. I still have it and still shoot it. I would just stay away from steel jacketed rounds, most others produced these days that are commercially available are just fine. Corrosive primers and such are only a concern if you are shooting imported surplus stuff and then you just need to do a little homework or clean immediately after every 200 rounds. Just a pain in the neck but shouldn't really cause much if any harm unless you let the residue persist for longer than a couple of hours.
Most use WWB or UMJ for range/target ammo. Any of the currently produced HD/SD ammo is fine, just a matter of personal preferrence. Out of the box, strip it down and clean it good including the magazines. The packing grease needs to be removed. Use a little grease on the rails (slide and frame) and some light oil like RemOil or similar on anything that moves or where there wil be friction. Reassemble and rack a few times then put a drop of oil on the rails again and she'll be ready to rock. SiG's like to run wet, but not soaked.
Shouldn't be a need for anything else but ammo, but if you have any other questions just ask.