I have a Sig SP2022 and enjoy it very much. It is not marketed very well by SigArms.
All the major manufacturers market extremely effective self defense ammunition in 9mm. Below is a short list:
Speer Gold Dot
Winchester Ranger Talon
Remington Golden Saber
Hornady Critical Defense
As for target shooting, just go to your local Walmart or Academy or other local sporting goods store and get the most inexpensive stuff you can find. Some folks steer clear of steel cased ammo and stick with only brass cased ammo.
Enjoy your new pistol.