I carry speer gold dot in my shield, it's cheap and good performance. I own a few boxes of just about every carry ammo, because why not try it all, right? And you can never buy just one box, or at least I can't.
For range ammo, not that I do much range shooting with the shield but it actually isn't bad to range shoot as well, just not as comfy as a full size, and the whole reloading thing after 8-9 rounds downside! I take the cheap beer approach, as in it's all about getting drunk for low-low prices. It's all about making it go bang for low-low prices. Blazer is usually cheap, white box, whatever they have at wally world or my local NH gun store that is reasonable. Sometimes the really cheap shit doesn't seem to be as dirty as the moderately cheap shit, but even if it's dirty, I'm not picky.
Again, when I do range shooting I like to go through lots of rounds, which the shield isn't all that conducive to with the small mags (I have three 8 rnd mags, lost the 7 that came with it and don't care to find it) with all that reloading. If you want to put a lot of lead down range, get a larger capacity range gun. by all means, practice and put lead down range with the shield, but reloading is no fun!