Sort of depends on the gun, the range, and what you want to do.
Golf balls, bowling balls, cans filled with concrete or lead. Cast or turned projectiles.
If you should get yourself a small bore cannon someday, like 1" to 1.5", you can have lots of fun with turned ammunition as mentioned by subdjoe above. We have some experience with making and shooting this type of ammo. We make and fire solid bolts only, never any explosive shell of any type. This keeps you legal and lets you go home with all your body parts intact after a day of pleasant shooting.
The captions with the photos describe some various types of bolts you can make on any small lathe, even the very small hobbiest 7" X 12" bench lathes which are available for $500 or sometimes less.
Regards,
Tracy and Mike
For the 1/6 scale, 1.067" bore rifle that we make, 100 Pdr. Parrott, the front row shows some special bolts we turned for penetration experiments. The body on all is 12L14 steel. They all have a .020" thick expanding skirt. From left to right you can see the 12.5 oz. bolt with a hardened 0-1 tool steel core, then there is a 7.5 oz. bolt with a old 1/2" gage pin core, then a 5.5 oz. bolt with a solid tungsten carbide core. Penetration in mild steel, boiler plate was, L to R, 2/3 of a .750" plate, completely trough a 1/2" plate, and .712" deep into a 1.00" plate. The rounds in the back are target ammo which weighed 7 oz. +/- 10 grains avoir.

This is what the 12.5 oz. bolt looked like after impact at 20 feet. Charge was 1 oz. of BP.

The bolt holding the GB up is a 9 oz. Brooke, bronze, ratchet sabot bolt. We use brass for bronze and 12L14 steel for the wrought iron. These are very accurate, producing 5 shot groups of 2 to 3 inches at 100 yards regularly.

A look at the "milled base", Brooke style, expanding skirt that we turn for the Parrott any Brooke rifles we make.

Finally, our most recent bolt for the Brooke with sawtooth rifling after penetrating 1" of boiler plate. It has an S-7 tool steel body hardened to 55 on the Rockwell 'C' scale and a soft 12L14 turned sabot.

The effect on target. The plug on the ground was actually from the boiler plate ejected by the bolt's displacement action.

A pic of the bolt and the powder charge used in this Maximum Proof test underground shot at the 1" thk. steel plate. This test fixture would win the ugliest cannon contest every time, but produced spectacular results on the target. Estimated muzzle energy was 16,000 ft. lbs.!
