This is an attempt explain differences in 9mm ammunition which is probably one of the most common calibers for self defense. The bullet is broken down into 4 basic parts. The primer is pressed into the rim end of the casing. The powder charge is then dropped into the casing from the open end. The bullet is then pressed into the open end of the casing and seated to the proper depth.
The casing can be either brass, metal or aluminum. The ammo box will designate what type of material the casing is made of. Brass is a little more expensive but it can be reloaded for re-use.
The grain rating is the weight of the bullet. The lighter the bullet the faster it will travel. However, the heavier the bullet the more energy it will have when it hits a target. Bullets can be Full Metal Jacket (FMJ Jacketed Hollow Points (JHP) or synthetic. FMJ are used for target practice and should not be used for self defense as they can over penetrate or exit through a target. JHP are common defensive rounds as they will mushroom upon impact and are not as likely to exit. Synthetic ammo typically breaks off into petals for increasing damage.