A couple years back we tried an HF mini-lathe, the smaller red model, for about $300-maybe $400. Unfortunately, it was pretty light duty and had plastic gears that didn't last very long at all so we took it back. If you were going to be doing small hobby work it would probably be OK, but FIRST shaft turning and gear/sprocket lightening were too much for it.
This past season we purchased a 3 in 1 machine from HF at a school discount -less tax it was about $400, retail was like $699 I think. This machine is much better suited to our FIRST applications and everything is belt-driven. However, I believe someone already mentioned that these machines should be handled somewhat lightly and use smaller cuts as they are not quite as robust as some of the higher quality- and more expensive - machines.
Also, SMITHY makes a nice 3 in 1 for about $2500 that can be upgraded very nicely depending of your desires -and funds! I've been looking at- and dreaming of one for my own personal use for a while now.
http://www.smithy.com/MWdefault.htm