I got some cheapo "Target" loads for messing around, HD specific shells for uninvited houseguests, and plenty of Buckshot and Slugs should I ever wanna go hunting. General consensus is correct, Get a little bit of everything. Shotshells are cheap enough when compared to other firearms(I've owned an 8mm Mauser and a .30 Carbine back when ammo was scarce for both, and that really hurt in the wallet area), so feel free to get a sampler.
I usually like to load up with what my dad calls "Fruit Salad", which is Birdshot, Buckshot, Slug, repeat until full. It gives you a good variety for whatever comes your way.