Very difficult to find brass and ammo for it.
Well, you can't buy it a walmart, but otherwise it's not too much different than any other caliber after the initial setup. 500 new cases from Starline will cost $211 compared to $72 for 45 Colt
The dies are also a little higher since there's less demand, I think they're in Reddings highest price bracket. You'll also need to use either heeled bullets or hollowbase bullets since they were designed for heel base bullets which makes modern .41 bullets too small. The most economical way is to get a Rapine or other mold and cast your own. There are places that sell the bullets too,
http://www.gadcustomcartridges.com being one.
I shot original 1877 Lightnings (38LC) & Thunderers (41LC) for a few years. For the number that were produced double actions are sorely under-represented at our shoots. The extra effort you'll put into reloading will pay healthy dividends in style points.