It all depends. I was looking for both a lathe and a mill. A deal on a mill came up first so that is what I got first the lathe came 5 years later when I got sick of looking at worn out lathes for $4K and just bought a new one for $5K.
I made shafts on my mill, some with threads, both internal and eternal. I have been considering making a "turners cube" on the mill just to be different. Yes either machine can make almost anything, But some things are super simple on one machine and major work on the other.