It's all good discussion to know and be aware of all the possibilities but beware of analysis-paralysis. When the time came for me, it came down to two things: A) Making sure in my mind that CNC was needed/necessary for the work I do. B) Deciding on a budget. You might find (as I did) that deciding on a budget will quickly narrow-down the possibilities -keeping in mind, that in my case, the decision was made to purchase a pre-canned machine. Of course, it's absolutely necessary to do your homework and learn what's out there -but when the time comes, make sure your eyes don't get bigger than your pocketbook.
Budget is really key here. For example, Haas has a personal/professional milling station but by the time you add all the "nice to have" stuff, it cost 50 grand. For that kind of money, you can purchase a Hurco production machine and it will out-gun anything on the block. There are other good names to look at too like Litz Hitech (which is available through me) who makes the machines for Hurco. Milltronics, and other names too.
I personally looked at some very nice package setups (which have been discussed by others in this thread) which have many nice features and a lot of glitz and pizazz... At the end of the day, I personally felt that I was getting wrapped-up and suckered-in just like the teenager down the block with a tricked-out Honda Civic... you know, the kind of car with fancy tires, expensive rims, tricked-out suspension, custom exhaust, nitrous injectors -and big fuzzy dice hanging from the rear-view mirror... -And a year from now, it will be burning 2 quarts of oil a week and have a market value of ZIP.
... In any event, the decision process should start with what you need and can afford. If you're doing this for a hobby and are financially well-off, just go out and buy something high end. If you're like me (starting a business and money is tight) and had some, but not huge, need for CNC work; a basic and reliable machine is probably best. Also, it's not going to kill you to change bits by hand; I've done it on my manual mill for a long time and I'm still here, alive and breathing to tell you about it.
Having said all this, I'm pricing/negotiating a high-end CNC -not because I want one -but because I'm also negotiating a contract to produce parts with it. Do I plan to sell the one I have? -Nope!
Ray
EDIT: And FWIW, I've used both R8 endmill holders and ER32 collets and no bit has ever pulled out on me. If they do, it's because you didn't design your feeds, speeds and toolpaths properly.
Material is 1/8" lexan sheet, and 1010 series 80/20 extrusion.
