I reload .357 Mag and .223. The .357 is most definitely cost-effective; .223 probably not so much. I load .357 for about 11 cents a round for target ammo, and maybe a few cents more for full-house loads (not including the cost of brass and equipment). The key to saving money is to buy components in bulk (I buy mostly from Powder Valley). If you buy powder by the pound and bullets by the hundred you'll spend far more. Lead bullets would be even cheaper, but I shoot indoors, mostly, and don't like the smoke.
Reloading 9mm and .40 won't save as much (maybe not at all) -- ammo's so cheap for them. There are other advantages to reloading, though. You can tailor ammo to your needs. Many people don't save anything -- they just shoot more.
The reloading forum on thehighroad.org is a great place to go for reloading information. I'd highly recommend it.