I'm with Gewehr98. I'm a cowboy action shooter, and got seduced by black powder several years ago. At first, I tried the substitutes because they seemed easier and were available on the shelf at Bass Pro and Wal-Mart. I used Pyrodex, American Pioneer Powder (APP) and Hodgdon Triple Seven (777). I hated Pyrodex. It has an acrid, chemical odor, and cleanup was difficult. APP was better than Pyrodex, but it was weak and inconsistent, and produced a whole lot of white smoke but no flames. APP is also very hygroscopic and dusty. My press (Dillon 550) quickly got coated with a layer of fine gray dust, which absorbed moisture from the air and promoted corrosion. The APP also tended to clump and "bridge" in the powder measure, leading to lots of frustration and the occasional case with no powder dropped!
777 was better than Pyrodex and APP, and that's what I used for about a year. It's quite a bit hotter than real black powder, though, so a full case in .45 Colt is quite a stout load. Downloading is difficult, because (like black powder) you can't leave any air space in the case. That requires the use of wads or fillers, which slows down loading and is a hassle. Finally, I kept finding that cleaning was difficult. I often had a baked-on black crud in my guns that was hard to remove. I stuck with it, though, in large part because I had a lot of commercial wax-lubed bullets and Hodgdon advertised that you could use 777 with wax lubes (APP says the same thing).
Finally, I tried real black powder (Goex fffg, actually), combined with bullets that had an appropriate black powder lube. It was great! Real black powder smells better than subs, gives a great BOOOM with plenty of smoke and flames, and is remarkably consistent. My accuracy went up, and the fun factor went WAY up.
My guns were also much easier to clean. When you use the right lube (I use a cheap homemade 50/50 mix of beeswax and crisco), it mixes with the soot and keeps the fouling soft and greasy. Cleanup is easy and fast with plain old hot water -- the soot just rinses away. I can now clean two revolvers a rifle and a shotgun in less time than it used to take me to clean up when using smokeless powder.
I buy my black powder mail order. I just moved to Minnesota and haven't tried to find it locally here, but in Memphis the few places that stocked it wanted $15/pound plus tax. I could buy it online for under $10/pound delivered to my door in case lots, and I use a lot of it (I reload 44-40, 44 Russian and 12 gauge shotshells with black powder). I usually ordered from Powder, Inc.
I do recommend magnum primers with black powder, but I've also had quite a bit of success with Winchester Large Pistol (WLP), which don't come in a "magnum" variety. I've also used CCI350 and Federal Magnum Large Pistol with great success.