Without making another pitch for my favorite calibers, you should know that the argument about which is best has been going on for probably decades, and shows no sign of ending. Heavy bullets vs fast ones, wide bullets vs skinny ones, bonded vs plated or jacketed, Glock vs everything else in the world... and there are good points on both sides of every aspect of the issue. Makes it difficult to be completely wrong, unless you go for one of those FN 5.7mm pistols (kidding, although I don't like them).
If you're really concerned about ammo costs, you could look into reloading. Brings my cost per 100rds of .45 ball to about $17, last I checked. I've seen factory ball go for $30 or more lately for a box of 50. If you're not super familiar with guns it may seem intimidating at first, but I don't think it's any more difficult than changing my own oil.
As far as defensive ammo, most any major brand hollow-point pistol bullets will work pretty well nowadays. What some people overlook is that the ammo must function in your particular gun. Fire at least 50rds of whatever you choose for reliability testing before you settle on a carry load. For what it's worth, my department issues Winchester Ranger duty ammo, 147gr for 9mm, 230gr for .45, and I can't remember for .40 because I don't shoot one. When supplies of that run low, we've been known to use Gold Dot, and Federal HST.
Another thing I do is start every pistol session with about 100rds of .22lr. You get far cheaper ammo, plus the recoil and sound is greatly reduced. The benefit of this is you can get more repetitions before fatigue sets in, and it's easier to observe ways to improve your technique. Poor trigger squeeze, poor grip, etc, can be explained away as "man, I know I did that right, but the gun kicks so hard I guess I need to lift more weights," until you shoot a .22 (friend had a .454 Casull, and couldn't shoot it despite being twice my size). Rimfire ammo was on the endangered species list for a while, but I'm seeing more and more back on the shelves.
Edit-just noticed MJK suggested the same thing re; rimfire.