My approach has been to use GW minis, for the most part. If a unit is OOP or is otherwise unavailable, I'll go to other manufacturers. However, for my biggest armies, I'll slip in a few non-canon units either for variety or fluff value. For example, my HE force includes some Dark Elf Corsairs and Spearmen, painted to match the rest of my HE army.
I have four warmaster armies, and my next long-term goal is a Westerosi army (based on George RR Martin's A Song of Ice and Fire series) built around Empire/Bretonnian rules. For that, I'm sure to use a combination of GW and Copplestone, with maybe some Old Glory mixed in for good measure. Of course, Eureka's line is really good, too.