I got to thinking about it and for me it is complicated and depends on caliber, purpose, and price points. Fiocchi often makes SD loads that rival Hornady's load with Hornady's own bullet; and sometimes the Fiocchi load is faster, all the while it is much cheaper.
Self-Defense ammo:
For a 9mm in a full size gun, I like 147 grain Fiocchi loads with the Hornady XTP bullets. In a compact 9mm I like the Hornady Critical Defense 115 grain loads.
For a .357 magnum revolver with a 4" barrel or longer I like Fiocchi 158 grain loads with the Hornady XTP bullets. For a sub-three inch bore .357 I prefer Speer Gold Dot Short Barrel for reliable expansion.
For a .40 S&W full size I like Winchester Ranger 180 grain BCHP, its the same bullets as their PDX1 and Black Talon ammo but in a 50 round box and was usually cheaper. For a compact .40, I like the Critical Defense 165 grain load again for reliable expansion.
In a 45 ACP, I like Hornady 230 Grain XTP load, but I am super particular about this load as I have never had a jam in any 1911 with this exact load; the Hornady TAP FPD 230 grain +P XTP load. I use this load in both compact 1911s and government models as it has never failed to function. I have probably shot thousands of these.
Finally, in 44 Magnum. For carry I generally use Fiocchi 240 grain Hornady XTP loads or 44 SPL 200 grain Speer Gold Dot Short Barrel.
I don't really carry anything other than these calibers so this is it for my SD ammo.