Depends what you're shooting. If you want plinking ammo, it makes no sense to reload something like 9mm or 5.56mm. However, if you shoot .30-06, 7mm Rem Mag, i.e. anything more expensive, reloading is great. Reloading also lets you tailor your loads to what YOU need them for.
For information on this, I would post this question on a firearms board. I recommend
www.thehighroad.org
I believe they have a section specifically dealing with reloading.
The possible danger in reloading is if you don't have the slightest clue what you're doing. For example, making a .40 S&W +P. It doesn't exist in the SAAMI specs. You do that, and you can blow your pistol apart. It's happened to many people because they are stupid. So long as you follow the reloading guides and powder/pressure specifications for what you're doing, you'll be fine.