Well, the thing about container and small-scale gardening is the shear number of seeds. If I get a packet of 1000 lettuce seeds and have room for only, say 20 heads of lettuce at a time, chances are that I'm not going to use use up all the seeds. So I save the leftovers for the next year, because I know that most varieties of seeds will last for at least two years (sometimes even 4 or 5) if properly stored.
Nope, you don't have to buy all new seeds every year!
But not all seeds will last two years (onion seeds aren't as likely to make it), and you also have to make sure you store them correctly. I personally put all of my seed packets in a large zip-lock baggie, throw in small handful of uncooked rice to absorb moisture, and put it in the refrigerator. Some people even opt for the freezer, while others simply put them up in a cool, dark cabinet. Whatever you decide on, the essential ingredients here are dark, dry, and cool.
The seeds that apparently didn't survive for me were the Tom Thumb Lettuce seeds. Nothing showing up in the garden and my attempts at sprouting them on damp paper (which also serves as a germination rate test of sorts) have done nothing. Desperate for the adorable little compact heads of lettuce, I may attempt to sow the entire packet of remaining seeds, but I believe I'll be relying on the Little Gem Romain (also purchased last year, but doing great!) and the mystery tube of mesclun mix a friend gave me.
But in general, I say you should always save extra seeds. You can always test germination rates (hmmm, I should do a post on how to test it!) when in doubt, so the worst that can happen is that you might end up buying again after all.