I've owned two LC9's. I haven't had any issues with any type of ammo in either. So it depends on your purpose in shooting. I would stick with FMJ for practice and economy. Then you can buy expensive stuff for carry / self-protection. I used shot a lot of Blazer and Federal with some Winchester and others.

I shoot Federal 115grain FMJ in mine and never had a malfunction or failure of any kind. For defensive rounds in it, I use Ruger ARX 80grain ammo. Also no problem with the ARX rounds.