Speer is, IMHO, the number one self-defense ammo manufacturer. I also like Hornady ammo a lot, and it has worked well in every handgun I have ever owned except one (Kahr CW-45). Corbon and Winchester also make great personal defense ammo. I usually carry either Speer or Hornady, but mostly Speer now, because of their "Short Barrel" line, which is engineered specifically for smaller CCW type weapons.
Part of the fun in getting a new gun, is experimenting to find out which ammo works best in it: How it chambers, the amount of recoil, accuracy, etc. You want to feel comfortable and confident in the ammo you select. Below are two pretty good Youtube field test videos of some Speer 115gr 9mm & 124gr 9mm +P, using denim and ballistics gel.
Speer 115 gr 9mm.
http://www.youtube.com/watch?v=v2s82...feature=relmfu
Speer 124 gr 9 mm+P
http://www.youtube.com/watch?v=fdXfD...feature=relmfu