Winchester Heavy Game Loads are my personal favorite for high-volume target and practice loads. Their budget construction and low-height steel heads make them less than ideal for reloading, but I personally haven't been able to put forward the start-up cash for reloads yet anyway. At $6.00-$6.50 a box, they're more expensive than cheap Wal-Mart ammo, but I feel their price is justified by their quality.
Below I posted a picture I took of a deconstructed (2 3/4") 20 gauge hull with 1 ounce of #8 lead shot and 2.5 dram equivalent of smokeless powder. I've purchased thousands of rounds of this ammunition so far, and I'm happy with it. I generally don't use this type of ammunition for hunting, but it's perfect for a day shooting clay targets when you have to balance price and performance.
I copied the below image from the IHEA web site to acquaint anyone new to shotguns with the basic structure of a load. It might help you interpret the components of the above shot if you're unfamiliar.