Well, to have a cnc you would need many thousands of dollars. The absolute cheapest one I have found is this
http://www.maxnc.com/page3.html and it is extremely small. You couldn't make very big stuff with it. Plus, there is no automatic tool change or coolant or anything like that. You'd be better off getting yourself a nice set of manual machining tools.
The advantages of CNC are:
Very precise and accurate
Quick
Numerous parts of the same are easy
Can make very complex shapes and large cutouts and bores
Disadvantages of CNC:
Cost
Programming time/expertise needed
For your machining needs, see if there is a college nearby that is willing to help you out. That's what we did and they give us full support of a half dozen manual mills and lathes, 3 CNC mills (one of them is 710 ipm 30 hp vector drive) and a CNC lathe plus several other tools. We only have to pay the class fee of $24 dollars per student per semester.
CNC mills can be made from manual mills but the cost vs. benefit may not be worth it. Here are a couple links of people who have done it.
http://www.bmumford.com/cncmill/
http://www.embeddedtronics.com/metalworking.html