I’ve recently gone back to grinding my own colors. I used to grind all of them, but as the good pigments (vermilion and lead white especially) became impossible to find here in Florence, I started using tube paints. Every August though I run out of colors and have to get out my pigment stash and grind up a bunch of paint to make it to September.
Here is a brief list of the pros and cons of grinding your own paint.
Pros: Large range of dry pigments to chose from, complete control over consistency, (usually) much cheaper, more intense colors, and finally, you get a better understanding of your materials.
Cons: Its time consuming, messy, and many of the pigments are toxic.