I shoot a lot of .22 LR in my Ruger Mk 2 Target pistol and .22 conversions for my 1911 and CZ-75 pistols, and they are each different in ammo. It doesn't make any real difference in my .22 bolt action rifles (I don't have any semi-autos).
The Ruger, which I use primarily for 100-yd shooting with a 2-power scope from sandbags, functions best with 40-gr ammo, either std or hi-velocity. The Federal hollow-point HV ammo gives me 3-1/2" groups at 100-yd (same as the 40-gr), but occasional (say, one in ten) stovepipe jams (failure to eject cleanly, old case caught behind the feeding cartridge). The Remingtons are almost as accurate, but I get a 1" flyer about every 8th round...same stovepipe jam frequency. I favor the Federal ammo for this pistol.
The CZ, with CZ .22 Kadet conversion, is fine with any ammo...a real dream to shoot. I use that for combat-style shooting at 25-yd on an 8" bull. It started out as a .40, but it's so much fun to shoot as a .22 that I've never converted back.
The 1911, with the cheaper Marvel conversion, has 100% failure to eject with hollow points. But with 40-gr Remington Thunderbolts, it's 100% reliable. I use that primarily for combat-style practice at 25 yd. It's not as accurate as the CZ (though the Marvel has a longer barrel and sight spacing), but provides practice with the 1911...
I haven't tested CCI, as I have large stocks on hand of the cheaper Federal and Remington. Winchester ammo works well, but there's not much of it around here...was my preferred 100-yd ammo, until I ran out of it....
Locally, the best prices are at Wal-Mart (I buy bricks).