RimfireRick: That is a
loaded question ...
and I'll guess there are at least a few dozen correct answers. Here's my long and short answers.
Of the four 39's I've been lucky enough to own only one was finicky about ammo, that was the 39 TDS with a 16" barrel. With ammo it liked, Federal Bulk and RWS target it out performed the other three. With ammo it didn't like, anything from Aguila, Remington or CCI it got ugly. No real middle ground with that rifle.
The others seem to be less finicky and will shoot most ammo reasonably well. Aguila SE Subsonic shoots consistently better in my 39's and most of my other non-autoloading rimfires. For the money <$15 a brick last time I checked, it's a good value.
I was skeptical about the Federal Bulk ammo until I tried it. For cheap ammo it isn't bad and it will cycle my auto-loading rimfires. All of my 39's shoot it well and my 24" 39 has put them inside a nickle at 50 yards. With open sights and aging eyes that didn't happen every time but I'd say once or twice per outing I could accomplish it. There are more fliers with this ammo - I'd estimate 2 out of 10 on average. I've never had one fail to fire and I've fired thousands and thousands of them.
RWS target cost me around $30/brick last time I bought it. In rimfires that like it, and my 39's do, it will consistently outperform other ammo. For the slight improvement in group size I don't see much value in it. A Grouse isn't going to notice the 1/4" difference in where it was hit. For a serious competition I would use it.
The category Winners of the last couple of 39 Matches we've had used CCI mini mags (3), Federal GM Match (2), Winchester Wildcat, Federal Champions, Lapua Multi-Match and Remington Bulk...
The short answer is, buy a bunch of ammo and go find out what your's likes.