Excellent advice so far, I can only add a couple things. One, the amount of satisfaction you get when a load you've tried turns out to be extremely accurate. I recently tested a load for my Contender in .44 Magnum. A reduced load, it had about the same amount of recoil that a .38 Special has. At 10 yards offhand, average group size was about an inch. Some came close to making one ragged hole. Highly satisfying!
Also, as it's been pointed out, if you want ammo that you'll never find on a store shelf, you can load it yourself. For that same Contender, I loaded some ammo for my scoped .30-30 barrel. Now, I already have plenty of ammo for my Win. 94, but it's all flat point, due to the tubular magazine. I loaded some Hornady 150 gr. pointed soft points, and they grouped 1.5" at 50 yards, using a makeshift rest. Also highly satisfying!
I load all my ammo on an RCBS Rock Chucker, with a 505 scale, and Lee dippers, and I have since 1979. Well, actually I started with the Junior, and eventually bought a RC. I think turret presses are great, and that Dillons are wonderful machines. If I needed one I would surely have one. However, nothing beats a single stage to learn on, and for the amount of shooting that I do, they still work fine for me.
So, do your homework, shop around, be patient, and in a short time you can be putting together your own ammo.