Regression-based face alignment involves learning a series of mapping functions to predict the true landmark from an initial estimation of the alignment. Most existing approaches focus on learning efficacious mapping functions from some feature representations to improve performance. The issues related to the initial alignment estimation and the final learning objective, however, receive less attention. This work proposes a deep regression architecture with progressive reinitialization and a new error-driven learning loss function to explicitly address the above two issues. Given an image with a rough face detection result, the full face region is firstly mapped by a supervised spatial transformer network to a normalized form and trained to regress coarse positions of landmarks. Then, different face parts are further respectively reinitialized to their own normalized states, followed by another regression sub-network to refine the landmark positions. To deal with the inconsistent annotations in existing training datasets, we further propose an adaptive landmark-weighted loss function. It dynamically adjusts the importance of different landmarks according to their learning errors during training without depending on any hyper-parameters manually set by trial and error. A high level of robustness to annotation inconsistencies is thus achieved. The whole deep architecture permits training from end to end, and extensive experimental analyses and comparisons demonstrate its effectiveness and efficiency. We will release the source code, trained models, and experimental results upon the publication of this work.