My advice would be the cheapest stuff that functions 100% and is adequately accurate.
Second, find a reloading mentor and start reloading. Unless you are independently wealthy, you are going to burn up some money shooting.
Good advice here. Most any decent quality FMJ will function very well and be plenty accurate enough for USPSA, IDPA, Steel, etc. I wouldn't switch barrels if it were me. While lead bullets are a little cheaper, they smoke more than I prefer. Shooting jacketed, I see little to no advantage to an aftermarket barrel.
Go for the best jacketed bullet value you can find and shoot a few matches, saving as much of your brass as you can. Walmart will probably be most convenient and not bad on the price, although online vendors will sometimes beat them if bought in bulk. I couldn't tell you what Walmart's price is on .40, but www.ammoman.com
has Speer Lawman for $179/500 rounds or $289/1000 rounds, and note that shipping is included in these prices. You may very well be able to beat these prices at Walmart or with other online vendors, but this was just a first stop to get a baseline, and Speer Lawman is pretty decent stuff, as is Winchester "White Box", Remington "UMC", Federal "American Eagle", PMC, etc. I would go with brass case stuff if it were me and as I mentioned above, save as much of it as you can.
One note about factory ammunition is that you won't be able to tailor it to the power factor of the sport you are shooting like you can with reloads. The 155 Speer I mentioned above most likely won't make "major" power factor, but it will be well above what is needed for "minor". Most factory 180 loads are well above major. Feel free to post or PM what you are considering competing in and we can help you with power factor.
If you are going to shoot a lot, reloading is the way to go. Although it is a little expensive to get into, it will pay for itself quickly if you shoot a lot, and you can tailor your loads to your gun and to the power level required for the particular sport/division. Head out to a couple matches with some factory ammunition, and you will meet many folks that reload and are willing to help you get started.