I too would suggest the Lee Breech Lock Challenger kit. Its on sale as Midway right now:
http://www.midwayusa.com/viewProduct/?productnumber=423081
In addition to the kit, at a minimum I suggest-
A manual, Lee's is cheap and has a lot of good info, but also some Lee propaganda that needs to be sorted through. Its still a great resource as a bargain price though:
http://www.midwayusa.com/viewProduct/?productnumber=484416
and/or a Lyman Manual (more manuals are better, even in the age of the internet):
http://www.midwayusa.com/viewProduct/?productNumber=217655
or
http://www.midwayusa.com/viewProduct/?productNumber=277752
Extra breech locks for the press, you need one for each die to take advantage of the system, and the kit comes with three. So, if you have 4-die sets for both 9mm and .40S&W, you would need 3 additional packages, 2 additional packages if you go with 3-die sets. These also happen to be on sale right now:
http://www.midwayusa.com/viewProduct/?productnumber=971565
9mm die set:
http://www.midwayusa.com/viewProduct/?productNumber=885350
or
http://www.midwayusa.com/viewProduct/?productNumber=140349
A set of Calipers:
http://www.midwayusa.com/viewproduct/?productnumber=604242
As for components, finding them locally is best if you are buying in small volume. I never, for instance, order less than 5k primers or 8# of powder online due to shipping charges. I prefer to order primers in 10k or larger lots. However, if you do decide to order online, here are some places to look:
www.powdervalleyinc.com
www.wideners.com
As for brass, don't buy new for 9x19 or .40S&W. There is plenty of once fired brass available online (Gunbroker and the various forums), and 9x19 should be less than $40 per thousand. Plus you can reuse it multiple times.
I understand wanting to keep you loads similar to defense ammunition, but loading a 125 grain lead bullet isn't going to make much difference over loading a 115 grain bullet in felt recoil or point of impact. You are welcome to spend the extra money on jacketed bullets if you want to, but I don't really see much of an advantage. Missouri Bullet is a great source for lead 9mm bullets.
www.missouribullet.com
I like HS-6 for 9mm powder, but there are a lot of options. Titegroup, 231, the list goes on. You should easily be able to get 1000 rounds from almost any powder (per pound), and often quite a bit more.
As for the Lee bashing going on here, it seems to be either based on experience with the older Lee equipment (which was not so hot a lot of the time), or lack of personal experience. I have several colors on my bench, Red, Green, and Blue. I've had a Rockchucker II since 1994 when I started handloading. I still have it, but IMO the Lee Classic Cast is a better press than the RC II. Its just as strong, plus it offers a better spent primer catcher and better on press priming system than the RC. It was also about $60 cheaper.