just my .02... for starting a Lee 4 hole progressive is great, thats what I started on, it's inexpenxive, not cheap, and cranks out some quality ammo and it IS auto indexing... nice machine.
Titegroup in .40 is great... loads are great for me in 155, 165 and 180... but watch as Titegroup is a small charge and easy to light charge or squib.
i just started using power pistol and like it alot.
AA#5 is also a great performer in .40 Pick up brass from the LE shooters at the range.
When I go, I always look at what people are loading from,... ie., Blazer Win white box, etc, and then try to grab up the good stuff after they leave,,,