I'm on the 2nd barrel for my 338, so I've shot quite a few loads through it over the years. My favorite bullets are 225's, though I've shot 250's a bit in Africa. Never shot any of the light bullets. Of the 225's, I like Nosler Partition, Accubond and Barnes TTSX. There are great factory loads for all of these bullets.
If you do your part with a good factory load and any of these bullets, you'll never have a problem with anything you may hunt with your 338.