For range work I prefer WWB, Sellier & Bellot (sp?), CCI Blazer, and if I have to, UMC - basically it comes down to affordable fmj. In 9mm I like to stick with something in the 124gr. weight range.
For defensive loads, provided they function in a particular gun, I'd feel equally well armed with Fed. Hydrashoks, Remington Golden Sabers, Speer Gold Dot and one or two others. I do prefer +P in defensive 9mm loads but never felt the urge to go with +P+. As others have said, buy a few boxes of what you're interested in and hit the range. Choose whichever functions best in your gun and you're most comfortable with - never hurts to have a second or third choice of loads in case you have trouble finding your favorite.