dies are dies, for the most part. There's really not a huge difference in brands, or function. My first choice is usually the Lee Collet deluxe set, if it's available in my caliber. The collet die is definitely unique to Lee, and works very well for lube-free neck sizing; which is a fantastic time saver when you're loading a large volume of precision ammo (for blasting gophers, for example).
Hornady dies (at least, the ones I've used) include a collet thingy in the seater die that's supposed to keep the bullet aligned during seating. Not sure how effective this actually is, or if it's just a gimmick. Also, most Hornady dies have a tapered expander plug, which makes for a smoother resizing process.
But, like I said - dies are dies, for the most part. There's usually not really a compelling reason to choose Hornady over Redding over RCBS over Lyman, over whatever else have you.