The price for Hornet ammo is indeed, shocking. There is some cheaper European stuff listed, but there never seems to be any on hand to sell....
basically, Hornet ammo is a niche market, and the price break on real volume calibers (which we don't notice usually) doesn't apply to the Hornet, or other niche rounds.
Reloading is the most cost effective way to go, overall. But the Hornet is again, not mainstream for reloading, either. Pony up the cash for a quantity of NEW brass (and get a bunch, because you will destroy some cases, Hornet brass is both small and very thin, and even after you learn all the tricks, you will still lose a case here and there to collapsed necks when seating new bullets, unless you are both very careful, and lucky
)
Standard primers, only a tiny bit of powder (10-12grs in many loads), and standard bullets(40-45gr are traditional Hornet weights. Can shoot 55gr, but speeds are lower and results often disappoint).
I've got two Hornets, a Ruger No3 and a Contender. I like the Hornet, even though it takes a bit more care reloading than most other rounds. One thing I like about the Hornet is that I can load it to match .22mag cheaper than buying .22WMR (once you get past the intial cost of the brass). you could even load it down to .22LR speeds (use cast bullets).
One thing to watch for, Hornets from the pre-WWII era (and some others, I think) often have small (.223) bores. And there are still .223 bullets available here and there. Modern Hornets have the standard .224" bores and use standard .224" bullets (don't confuse the actual bore and bullet diameters with the same numbers in cartridge names. The (modern) .22 Hornet, .218 Bee, .219 Zipper, .221 Fireball, .222 Rem, .222 Rem Mag, .223 Rem (5.56mm) .224 Weatherby, and .22-250 ALL use .224" diameter bullets).