Federal TSS in every gauge and length with #9 shot
.410
20 gauge
12 gauge
With a tight choke, you will need to use an optic to keep from missing because the pattern may be so tight.
My son put 100 pellets with in a 4" circle at 40 yards with a .410.
A friend put 400 pellets in a 4" circle at 40 yards with a 12 gauge.
I talked to a guy recently who said he, literally, took the head off a gobbler at 65 yards with a .410 last year.
All with 3" shells.
If you don't want to pay $10-12 per shot, then use 3" or 3 1/2" 12-gauge with #5, copper-coated lead shot. Keep the shot to 40 yards or less.
Make sure you pattern your gun with the load/choke tube combination that you plan to use. If you don't put at least 10 pellets in the kill zone at 40 yards, change something and try again.