Another good place for ammo is Palmetto State Armory - they are slow though. I've ordered from them twice and they take a couple of weeks to deliver.
You can read all day on ammo types. The end all and be all of .223 is the Lake City SS109, it's getting real hard to find. Expect to pay a lot. I picked up a case of Prvi SS109 right before the election for $420 delivered from Ammoman. He's now OOS on it. I'm not that familiar with the SIG. I know that each AR15 variant has it's own likes and dislikes.
For 9mm, look for +P or HydroShock "type." Each manufacturer has a different name for it, so just look for their "self-defense" or "tactical" round. Generally, as long as you buy a 'reputable' brand, you'll be fine, but make sure you buy a single box first to test in your weapon. Most companies make "target" rounds and then make a tactical round that's better quality (Federal, Winchester, PMC, etc) Some brands/rounds/types don't always function flawlessly in every weapon. My instructor buddy recommends that you burn a magazine as fast as you can pull the trigger. If you don't get a malfunction, you're probably ok (you can always get a malfunction for other reasons).