Hertinberg made some of the best SS109 loading, that would penetrate hard objects (i.e. medium to thin steel and iron) better than the any other that we have seen/tested. This was due to at least in part a better point shape of the internal steel tip (checked by cross sectioning and X-Ray) and the steel core being harder (micro hardness). However, don't recommend you shooting steel objects due to safety reasons.
A box holding compressed wet (damp) newspaper is an interesting experiment for expanding bullets. However, need to build a box and add thin wood sheets to pull out and see how far you bullet went, or you have to tear down the bundle every bullet type.
Shooting aluminum beverage cans filled with dry beach sand is another educational target. Once of the guys a few dozen years ago was bragging about how powerful his new rifle was (a Colt SP1, which compared to all the 22 LRs he had fire, was powerful). So a friend (just out of the Marines) filled up 9 beverage cans and placed in a three by three square for the guy to shoot at. Of course the first round went low due to the offset of the sights above the bore and the send round broke up in the first can, with out coming out the back side (commercial reloads with a fairly light FMJ bullet).
Another target to try is an array of wood 2 by 4's and see how many each of the classic rounds will go through (55 gr FMJ, SS109, 5x gr hollow point, 77 gr MK262 etc.). Same thing could be done on a couple of fake walls (with and with out the studs between the dry wall.
Just for fun, some type of Ritz cracker makes an interesting target at 25 to 100 yards. Or the bad apples and fruit if that is laying around and you are shooting at your own range (makes a mess if not out in the woods for the critters to eat later).
Lastly one of the plastic "snipper" blocks makes a good target if you are shooting in the back 40 .... with the required hills, back stops, safe area ....
For ammo would check Ammoman.com as a start.
P.S. Been trying to hold the line on only HK 90 series rifles (potential hosts for the sears when the barrels start to get used), but sounding like may have to keep looking at he newer "plastic HK's. Have fired a few post sample HKs, all worked and fired nicely ... as is typical.