While I don't currently own a P99, I do shoot mostly .40 S&W.
For practice, almost anything but Wolf. Winchester Whitebox always seems to be a good bet. Fiocchi can be cheap but it's a little hot.
For Defense I recommend Speer Gold Dot 165gr HP
or 40 S&W, Ranger LE, 165 gr JHP T-Series. I get these from:
http://www.chestnutridge.com/products/ammo.asp (you have to scroll about 7/8ths of the way down).
Buying in bulk will save you money. Walmart is allegedly a good source, though I've never purchased there.
www.ammoman.com No shipping charges
www.midway.com has worked for me.