-Lead means bare lead. Some are swagged (compression formed) and others are cast. Their most easily identified by rings of coloured wax based lube around their shanks but not all have this.
-Plated are lead bullets (either swagged or cast) which have been copper plated. As stated the thickness ranges from .003" to .008" (a piece of computer printer paper is around .004" for reference).
-Jacketed bullets have thick copper jackets that the lead cores are swagged into under very high pressure. Many hunting style bullets use a mechanical or chemical bonding process to keep the lead core from separating from the copper jacket once the bullet hits the target and starts to deform (people generally don't like hundreds of tiny lead pieces in their meat).
Jacketed can also be moly coated (molybdenum, a high pressure dry lubricant) which turns them metallic-black in colour.
There are also some swagged solid lead bullets that don't have lube rings/grooves around their shank so they can look like moly bullets.
Generally only rifle bullets are molly coated so if the bullets you're looking at are pistol bullets, they are probably aren't moly coated and are most likely swagged lead.
There are also solid brass bullets but those are most often for African dangerous game hunting (elephant, hippo, water buffalo, etc.)
There are also solid copper bullets under various brand names. Barnes TSX, TTSX, MRX, and others. Hornady GMX, and various others. These expand like hollow points and are meant as a lead-free alternative for conventional hunting.
There are also steel jacketed bullets as well as bimetal (steel jacket that is copper plated over a lead core). These use mild steel which isn't supposed to damage barrels.
It gets even more confusing when you get into acronyms. Some brands use TMJ (total metal jacket) to mean copper plated while other brands use the same acronym to mean copper jacketed with sealed bases; usually a copper disk covering the normally exposed lead in the base of a FMJ bullet.
If a bullet is a hollow point, soft point, or has any lead exposed on the tip or base (or has a plastic tip on the bullet), you are almost guaranteed it's a jacketed bullet. These are your standard $25-30 per 100 for .30 cal. If we're talking 45 you might be looking at $40/100. Depending on where you shop prices can be all over the place. XTP's are hollow points with exposed lead inside the hollows so they must be jacketed.
If a bullet is totally covered in copper with no exposed lead, not even at the base, they are most likely copper plated. These normally run under $20/100 for the major calibers. .224" bullets will usually be cheaper. Campro from Budget Shooter Supply for example are $80/500 for the 240gr .44 mag bullets.
You can always check the product lineup on the companies website. Hornady doesn't make any copper plated bullets; just jacketed, moly coated, and lead swagged. Berry's are famous for copper plated bullets and I think that's all they make. Campro are the same as Berry's.
What's "best" is dependant on your firearm and what you're using it for. Soft lead bullets are low velocity limits (~1500fps) but expand well even if their solid. Hard lead have higher velocities (~2200fps) but don't really expand at all. Solid copper bullets are known for needing higher velocities (2700fps+) to expand properly but have a maximum velocity higher than you'll reach in any conventional firearm (past 4000fps). Jacketed bullets also have very high velocity limits (3000-4000fps+) depending on construction and shape. Copper plated bullets range from soft lead to jacketed velocities depending on the manufacturer.
Lead bullets cost the least, plated bullets cost only a little more, jacketed bullets can be expensive, and solid copper bullets can be very expensive.
If you're loading normal pressure 45lc ammo (black powder equivalent) then you can use bare lead as you wont be pushing the bullets past the velocity limit. Of course lead bullets have other special considerations to prevent leading (leaving lead deposits in your barrel) such as matching hardness, RPM, and velocity as well as having the bullets sized properly and often needing to flare the case necks.
Personally, for 45lc velocities if target shooting, I'd go for plated. If hunting I'd go for a premium jacketed bullet like an XTP.