I shot Federal in my 22 rifle, although it's not a Henry, it does fine. You'll just have to try different brands and figure out what shoots the best in your gun. Oddly enough two Henrys won't shoot the same ammo with the same amount of accuracy, this is true with any firearm and any brand. Your new Henry may shoot Federal good but someone elses might have better accuracy with CCI. It just takes trial and error to figure out.
Federal sells a box of 550 rounds for $11, most of the other brands do the same. This is by far the best value, IMO.
Century Arms AR-15A2, 5.56
1946 Mosin-Nagant M44, 7.62x54R
1978 YUGO SKS, 7.62x39
NEF Protector Pump, 12 gauge
Savage Model 64, .22LR
NEF Pardner Tracker II, 12 gauge
Rock Island Armory 1911A1, .45 ACP
Remington 870 'Express Magnum' 12 gauge
Bersa Thunder .380