I use a total mixture of Lee, Lyman, Hornady dies for my 9mm and 45ACP. Much depends on whether or not I'm reloading lead/plated bullets or jacketed. My reasons for the mix:
I like the Lee sizing die over the Hornady or Lyman sizing dies. It has a better entry radius than the others. Don't know about the Dillon, but another post indicates it is even more generous.
Expanding die - Lyman M die for all lead, coated, or plated bullets. If your "bullet manufacturer" is Dardas, the recommendation is based on getting the proper expansion for the typically larger diameter cast bullets. I have proved this to myself. Using the M die on lead does not result in bullet diameter decreases. Not using the M die on lead does result in measurable bullet diameter decrease. All of this is determined by pulling seated and crimped bullets and measurement. You don't want to decrease the diameter of lead bullets, as this may result in increased leading and accuracy issues. Emphasis on MAY.
For FMJ bullets I use the Lee universal expanding dies as they only apply a flare to the case mouth and nothing else. They work great with the Hornady or RCBS bullet feed dies as these dies require slightly more than normal expansion to allow the bullets to drop.
Bullet feeding die - went from RCBS to Hornady this week. Both work for me, but the Hornady just works a little better as it contains all metal collets compared to the RCBS plastic collets.
Seating die - Hornady because they include a nice sleeve to aid in alignment of the bullet prior to seating, and the dies include 2 stems for different bullet shapes. Other dies may also include multiple stems, but the alignment sleeve cinches it for me.
Crimp die - Lee Taper Crim Die. Note this is NOT the FCD. Like others, I separate the seating and crimping into separate operations on my Hornady LNL AP. Do you need to? No. But this way I make certain that I'm not shaving lead when seating.
Conclusions: All dies will work, depending on your needs you may wish to specialize in some areas. For lead, the expanding and seating areas may warrant a little specialization.