let me wade in and throw some gas on the fire:
I've found the Federals to be most sensitive, hottest primer of the standard primers. Slightly more expensive ~$1.00/M. I use these exclusively in .357Mag. loads using 2400/Win296/H110 powders. They give pressures below and velocities above most published loads. These powders usually require a 5-7% reduction in weight if used with Magnum primers with associated loss of velocity. They also "talk"-show flattening or cratering- before too high pressures are encountered before the harder primers do. The Lee warning against using them is valid- see last paragraph !!!
Winchester are a predictable commodity, usually slightly cheaper and more available than Federals. New non-plated primers are very slightly "softer" than old plated ones, otherwise no discernable difference.
CCI are hardest, weakest, and tightest to seat of three, price runs about same as winchesters.
Had one batch that gave some FTF's, but may have been contaminated prior to my reciept from wholesaler- packaging appeared to be "stained", were part of a "close-out" deal- bought them VERY cheap.
Remington, about as hard as CCI, very consistent, and more expensive and less available than Federals. The 51/2's I got from a shop at half price when they were going out of business were best I ever used for hot .38Supers though; Super is now gone and so are the 25M primers I got for $125.00 !!!
I shoot about 30-50,000 .38's and 9's a year shooting/practicing for NRA PPC, I use the Federals in my revolvers as they are tuned for the Federal primers.
In 9mm, since blowing the Nationals in '98 with a pierced primer in Match 1, I only use Winchesters in the high pressure auto's (9mm,38Super,.40S&W). I still prefer the Federal Large Pistol for the .45acp though. My match .45's use Federal cases and the Federal primers seat the easiest IMO.
Accuracy at 50yds is indistinguishable w/revolvers & pistols from my testing between the different manufacturers, but my loads are mild accuracy loads-withing SAAMI though, only at or near max is the 9mm's.
I use the Winchester Small Pistol in my .22 Hornet too. It'll shoot one-hole 5-shot groups @ 100yds on occasion w/ 50gr Hornady SX over either 10.8 Hod LILGun or 11.6gr of AA1680 from neck-turned Winchester brass.
Contrary to the warning on the Lee presses, I've had good luck loading the Federal primers, Though, I do always use safety glasses.... I had a half-full tray of them ignite one evening when a piece of tumbling media lodged on the primer seating punchin a Pro1000. It was late at night..... I was wide awake after that, but not any damage except a small cut on my thumb from flying plastic primer tray. I'm more careful now !!!!