You can use anything you'd like, but I'd recommend to at least say away from Lacquered Coated ammo. When fired, it melts onto the barrel and is harder to remove. People have complained that it jams the following rounds to the chamber. You'll need a Lacquer remover or use more elbow grease. If you'd like to see the difference, check out the blue box Monarch (Lacquered) at Academy. The green box Monarch is brass.
I use brass, nickel, steel, zinc casing ammo.