I have better luck with certain primers, in certain applications. That being said, I use CCI, Fed, Rem,Win. Never had any issue with any of them. I have rifle loads that shoot in the .2s, and .3s using Rem, CCI, Fed. Certain powders seem to appreciate one brand of primer over another.
It's good to have choices. Sometimes a simple primer switch can really dial a load in. Or spread it out.