I recommend starting with cheap, uncoated HSS endmills. 4 flute for steel, 2 or 3 flute for other stuff. Using the cheap stuff while you are learning makes it hurt less when you break one in half because you hit the wrong lever at the wrong time. Buy a half dozen in the sizes you expect to use. Endmill size depends on the size of your machine. For a minimill, you probably don't want to go much over 1/2". I like 1/4" and 3/8" even on my knee mill. For heavier material removal or truing up larger surfaces, I use an indexable cutter or a fly cutter. I have had the indexable cutter for some time, and it never worked well on my X2; the fly cutter was much more effective on that machine.
Something like these [uel]http://www.use-enco.com/CGI/INSRIT?PMAKA=320-0060&PMPXNO=2603726&PARTPG=INLMK32[/url] as an example of a 2 flute. They are on sale right now as an added bonus. These are not really high quality, they are not going to last as long as carbide, or cobalt endmills, but it's likely you are going to break them before you dull them. Just accept it's going to happen, and try to understand why it happened when it happens. One thing to keep in mind is that 4 flute endmills can be either center-cutting, or non-center cutting. Center cutting means that you can plunge straight into the material like a drill. This is not possible with a non-center cutting end-mill unless you drill a clearance hole first; Keep that in mind when you are buying/using 4flute endmills. 2 and 3 flute endmills are always center-cutting.
If you can get a good deal on a name brand endmill, or a coated endmill, then go for it.
As far as roughing endmills, they are intended for roughing passes, specifically for removing lots of material. The edges are serrated, which results in smaller chips that are easier to evacuate. They leave a rough finish though, so usually they are used first, leaving a bit of extra material, and then a finish endmill is used to machine to final size. I have a couple, but I have not tried them yet. They can speed things up, but you don't need them.