I tend to shoot 230 gr FMJ ammo in my SIG, out of nostalgia for GI use of an M1911A1 and because it costs less than most other loads. I've been buying MagTech for $9.95 per box from Four Seasons (
www.fsguns.com)- it's made in Brazil, shoots well, and is nicely made. I also buy Winchester 230 gr FMJ at Sports Authority for $10.99 per box.
Accuracy with this pistol is exceptional, and the trigger pull is silky smooth, though not the lowest.
When I had a Colt Gold Cup, I usually shot 185 gr semi wadcutters. They have noticably less recoil and are thus easier to shoot. So that's my choice for optimal paper punching.
Some people worry about "defense" rounds but based on experience of two world wars and several insurrections, doesn't appear you can go wrong with the 230 gr FMJ.