For factory ammo, you can usually find winchester white box (WWB) or CCI Blazer Brass at wally world and the price isn't too horrible. For carry ammo (assuming defense against humans as opposed to 4-legged things) you're probably fine with any premium 165gr or 180gr hollowpoint that feeds reliably in your pistol. As Brian alluded, you might have to try a few to find your fave, but Speer Gold Dots, Winchester Ranger T, and Federal HST are the latest & greatest, at least in gel tests. CDNN has had .40 Ranger T (can't remember if 165 or 180) for $13/50 for a while, which is a pretty decent price for premium JHPs. Ranger T works great in my 9mm and .45 but I haven't specifically fired it in .40.

As for reloading, I'm planning to get a decent press once I have a house to put it in. You'll have to pay attention to your brass as .40 runs higher pressures than 9mm or .45. It's been a while since I read up on it, but I believe Glocks have incomplete chamber support which can lead to some bulged cases, which will be more of an issue with .40. Reason I mention this is if you're planning to scrounge range brass (especially from a law enforcement range) it's pretty darn likely that the .40 cases have been run through a Glock. You can probably use it, but you won't get 20 reloads out of it like you can with .38spl. Glocktalk, 1911forum, and others have reloading sub-forums where you can get some thorough advice from reloading fanatics, guys whose hobbies include scrounging wheel weights from tire shops, melting them down into ingots, and casting their own bullets. They'll have plenty of advice as far as sources for components, which companies' brass to avoid, etc.