Publicola has a new post up at Shooters' Carnival called Handloading for Beginners. If you have thought about getting started rolling your own, read it. He packs in plenty of information.
As he points out, handloading doesn't actually save you money-- it just lets you shoot more for the same money. It's also a great hobby. Especially in the winter when nothing is in season. A couple hours at the reloading bench beats staring at the January repeats on TV.