I loaded 9mm for a while years ago using a Lee progressive loader. At that time I could load 1,000 rounds for $50 or $60 if I bought FMJ bullets in bulk(1000). I typically don't even consider loading for a semi-auto though because I hate chasing brass all over creation. The only reason I broke that rule for the 9mm was the fact that my 9 is a Calico carbine which has a real handy brass catcher. You never lose a single piece of brass. Insert a full 100 round mag, put the brass catcher on the bottom of the receiver and bang away and all your empties are right there in a neat little bag when you get done. If I had to pick up brass I'd not even think of loading for it. On the other hand, you may not mind it at all. If your gun throws them consistently and you shoot on a tarp so that you can find most of your brass you might want to try. Do you already load for other cartridges? If so, then all it would cost would be dies and shell holder. If you don't reload and would have to buy an entire loading setup then it's probably not worth it.
As Snowwolfe mentioned, if you do cast your own bullets, loading any handgun round gets a lot cheaper. The only problem with that is the fact that lead is getting much higher and more scarce every day. If you aren't already set up for casting it's almost too late to start. Lead has passed $1 per pound on ebay. It's impossible to find at tire stores anymore as wheel weights are all made of steel now and have been for several years.