I load 10, 12, 20, and 28 ga., and my experiences are very similar to Hidalgo's. I shoot 100 rounds of 12 ga. a week, in a trap league. My hand loads are maybe a $1 less than cheap target loads, but are made with quality components, and hulls(AA and STS). If you just look at the bottom line, yes you won't save much money in 12 ga. loading. You will get higher quality ammo, be able to choose loads your shotgun/choke likes, on the pattern board, and always be able to get them, with hand loading. Where one can really save money is with less popular gauges. I save $5 a box on 28 ga. loads, and again I can make loads that are not available commercially. The same thing for 10 ga. I load Hevi-shot for waterfowl and turkeys, for about 60% of the cost of factory ammo, and again I pick loads my shotgun likes and I can always get them, if I keep a good supply of components.
The equipment costs, to get into shotgun loading, are lower than metallic cartridge hand loading. Basically, get a Mec Single stage, a charge bar, a few powder bushings, and start turning out ammo.
There is only one down side...It is addicting. 
Squeeze
