Are there any bonuses to making your own ammo?

Solution 1:

Some of the crafted ammo is substantially better than anything you can buy. Examples include Max Charge ammo for energy weapons, which deal 75% more damage, and the various Hand-Load ammunition, which often negates armor or has extremely large damage bonuses. You can see all of the crafted ammo that's better than what you can buy here.

Additionally, if you're playing on hardcore mode, ammo components (lead, powder, primers, cases, spent energy cells, etc.) have no weight, but actual Ammunition does. Especially with Energy Weapons an Veronica as a companion, you can substantially cut down on your carry weight by crafting ammo on an as-needed basis.