When I got into handgun reloading fairly heavily I bought my first Starline brass. GREAT stuff, uniform, and tougher than anything. Direct from Starline it's less than from anyone else, and no more expensive than any other. I've only lost a piece of it because I've literally lost it. I've got mostly RCBS carbide dies for handgun loads, but Redding dies are excellent. Their profile crimp dies are very good. One die that's also very good and seems to save overworking cases is the Lyman M die. It's great for cast bullets, and very good for jacketed bullets too.
A loaded round gauge from Dillon or someone else will save some heartburn too. Just drop a finished round into the gauge and if drops right in and doesn't stick out either end you should be good to go. Saves a lot of cussing and fussing, and is well worth the small investment.
One thing I discovered after starting to load for the .45 ACP was the proper taper crimp. Just turn in the case mouth enough so that it doesn't hang up in feeding. I crimp after bullet seating except for roll crimps on cast bullets with good crimp grooves. It's an extra step, but it makes me feel better.
I also got a turret press so that I can screw the pistol dies into it all at once so that I don't have to be screwing dies into and out of a single stage press. A progressive press would be faster, but I want to know that everything's been done as well as I could do it. All the cases have primers, they all have powder, and the bullets are seated and crimped the way I want.
I like Alliant Power Pistol in the 9x19 and .45 ACP, and it should work well in the .40 S&W too.
A good loading manual or two is a good thing to have too.