Yes you have to be picky, no you can not use 250 watt lamps on 400 watt ballasts.
I like to get the lamps by the ASNSI number, which I believe will be a "M-59" for a standard 400 watt MH lamp
A quick search at Graingers found 39 M59 lamps ranging in price from $20 to $120.
I would suggest you go to www.grainger.com
once there type M59 lamp in the search field.
Then you can see all the different options, even if you do not buy from there you can see what is available.