What is the largest caliber you will be shooting at the target?
For general handgun shooting I would use 3/8" thick mild steel.
It will not be very expensive, should handle most handgun rounds and should be easy to find at your local hardware store or steel supplier.
Most of the targets listed above are from hardened steel, which will cost you more. It's worth checking the price on the hardened steel though.
I have shot 1/4" thick mild steel plates with handgun rounds and had some deformation. I cannot recall the exact rounds that were fired at the plate though.