Milling machines are as expensive as you make them really. Aside from the £500 odd that you get from the bottom of the range. You can spend a huge amount should you want to. Thing is, you really need a solid place to put one. And often you are limited by weight, which then limits the size. I wish I could have a big sod off bridgeport but the things are massive, I'll leave those for when i get a more hardcore build space.
Mine was about £700 and it is around about as small as you can go for featherweight stuff. Nicely made though.
What I find is the killer is not the cost of the machine (which has taken several years of saving for :P) is the cost of tooling and fairly vital accessory. A set of collets is about £100 for the smaller benchtop mills and vices aren't cheap. Endmills and that are also not particularly cheap. Luckily for me I've inherited about 80 or so old imperial sizes from my grandfather. I'm taking the "buy it when I need it" approach atm, meaning I'm currently saving up for a boring head knowing I have a use for it.