OK, here's the deal. I reload for 12 and 20, but we go through nearly 10,000 rounds per year. I buy lead by the ton, primers by the 10,000, wads by the 10,000, powder by the 32 lb box. Otherwise, you can just go and buy Remington gun clubs for $3.35 per box, and call it good.
The 410 is a different story. Those shells ain't cheap, like you said. In that case, I'd go to ebay and buy a 600 jr. It'll load shells just fine, and should be under $70 bucks. You should be able to reload for about $3.00 per box, even when buying components in small quantities.
A couple of mail order places:
http://www.conniescomponents.com/
http://www.larryssg.com/
http://www.recobstargetshop.com/
Lots of people like Gamaliel, as well. HTH, Dutch.