Whenever possible I use PMC brand for the range....the plain, ol' FMJ stuff. Cheap, plentiful, clean, and nearly 100% reliable for me (only 1 misfire out of thousands and thousands of rounds). I've also had good luck with Fiocchi, Magtech, Sellier & Bellot, and Prvi Partizan although those brands are a bit dirtier than the PMC (especially the Prvi).
I tend to stay away from Remington UMC (the green and white box), Independence, any of the Russian steel stuff (unless I'm using it in my AK), or anything that comes in a bag.
I get almost all of my ammo online. My favorite sites are The-Armory.com, AmmunitionToGo.com, Natchezss.com, and LTDammo.com. One of those site will usually have the lowest price on what you're looking for and they ship your order quickly. Last Sunday I ordered a case of PMC 9mm from LTD Ammo and I had it on Friday. $240 including shipping works out to just $12/box. Can't beat it.