All three you mention are just different names for the same round.
I'd start that BHP with hardball - full jacketed roundnose. The Russian stuff - Wolf brand is most common - is in steel cases, is spotty in quality control, and has been accused of breaking extractors and gumming up chambers with lacquer. Avoid it.
Sellier & Bellot is ok. You may still be able to get Winchester-USA at Wal-Mart for a good price, it was about $10.95 a hundred this summer. Remington-UMC, Federal American Eagle, and CCI Blazer are other brands of decent economy practice. Samson-IMI is good, PMC is fair.
When and if you want to get some hollowpoint for defense, I'd start with Federal Classic, the famous stock number 9BP, or Remington JHP, or Winchester Silvertip. Those are standard hollowpoints, not specialty items like Hydra-Shok and Golden Sabre. They come in boxes of 50 instead of 20 and have more rounded noses for a better chance of feeding in a gun not really intended for hollowpoint bullets.
First thing I would do is get a buffer set for it (Buffer Technologies) and a slightly uprated recoil spring from Wolff Springs. Both should help decrease the wear and tear if you are going to shoot it alot.
As far as ammo goes - I would stick to the milder stuff like Remington UMC for practice. I agree with Mr Watson on the Federal Classic loads, although I use the HydraShoks too. The Classic ammo is a few bucks cheaper to buy if you shop around at shows, big sporting goods stores and on the internet.
I prefer the 147-grain loads as opposed to the lighter ones. I carry 147-grain stuff first round and first mag. Extra mags are all loaded with NATO-spec hardball.
Sellier + Belott is better than OK. I've shot about 15k rounds of 9X19 9mm through four different autos (including a Browning HP) with no problems. You can get a case of 1k for $105 from claflin cartridge: http://www.ammodeal.com/