Hmm, very good question indeed. I am curious to see what other folks do. I, as a rule, only buy reloads either from quality sources (Georgia Arms in particular), or from local folks whom I trust. As a rule of thumb, I am known to buy revolver cartridges from reloaded sources without hesitation because the revolver is more tolerant of reloader errors than automatics. The only reloads I use in automatics are my own, and even then, I do not normally use them for competition, just for practice and plinking.
Lee has a setup where you can get a press, dies, and stuf ffor loading a particular caliber completely set up for about $129. Frankly, if you shoot a lot of a particular cartridge (like .40 Auto for me) it makes more sense to reload your own to your own specs. Even with primers, powder, and bullets, $200 can get you the aforementioned press and enough supplies to load over 1,000 rounds of 9mm.