I'm hoping for something that can handle up to tool steel. But if it's big bucks to do that, then it's out of my league.
I've also wondered about auctions and so forth for a full size milling machine. sometimes there are bargains, but I wouldn't have a clue what to look for.
That's not actually an answer to the question of "what".
And any steel you make a tool out of becomes "tool steel". So that there is no information either. It means too many different things, to too many different people, to provide any useful information. If you try buying tool steel at the metal supplier, they could sell you pretty much anything, and it can be soft, hard, or anywhere in between. And there is a WHOLE world of difference between machining gauge plate annealed stock, like the stuff Starrett sells, and a chunk of D2 or similar, that has been hardened already. But if the guy behind the counter at the steel supplier gives it to you, and you destroy a paycheck worth of end mills trying to make it work like the one on youtube... anyway. Gotta consider some learning about the different alloys, their uses, and your actual needs, but I would suggest some plain carbon steel stock for stuff like sights or mounts, or some 12L14 (Leaded, free machining, mild steel) if you want something with as high a rate of success as you can get. Brownells sells a lot of it, maybe there's something to that! The leaded steel blues nice, solders well, but does not weld worth a damn. Cuts almost as nice as brass, thoug, making nice finishes easy. Rusts like a mofo, if you don't keep a layer of oil on it when it's bare, though.
IMO, right now, you would be better off buying some good books, and a manual metal lathe. If you already have a lathe, then a manual milling machine. You will have to learn the hows and why's of milling and turning, if you are going to learn how to program a CNC. The short answer to the reason why, is that you need to have some understanding of what is going on, to be able to recognize what will be needed to react to what ever did not work when your CNC ate the last cutter it destroyed. Add to that the need to learn at least two, maybe three different softwares to get the CNC to run and do what you actually want it to do. You may be looking at a modelling software, a CAM program, plus a machine control program, or combinations of same. Industrially, Solidworks would be a modelling software example. GibbsCam is a CAM software. LinuxCNC is a machine control software. Mach3, too, with some CAM thrown in the mix, and so on. Prices range from free to 'new house'.
If all you want to do in a home shop environment is to get started, download Mach3 and play with the wizards in it to see what it can do for you. Free and legal to start with, cheap to buy a full license. LinuxCNC (formerly EMC2) is open source and free, but quite a bit steeper learning curve and nowhere near as beginner friendly as a one-stop source.
Grab a copy of Digital Machinist magazine. Read the ads, read the advertisers websites. Tr to wait until you understand at least a bit, of what they are selling, before you drop a dime on something.
CNC is great for onesie-twosie work, provided you are making something that can not be more practically built by other means. compound curves, blended radii, lots of detail work, stuff like that rocks on CNC. Setting it all up to bang a flat on the side of a bar, not o much worthwhile, may as well just crank the handles.
Once you have a program saved, if you need to go back and make another, you are way ahead of the game. Want to make something similar, but different? Thaen you will be starting to look hard at the software you use, whether you can open up a file and start to modify it, or if you need to program a new part from scratch.
You don't need to be any kind of genius to do a retrofit, but you gotta be able to read and follow directions and circuit diagrams, as well as to be able to recognize when something is not working correctly and perhaps, why.
On the Taig, I don't think you'd be happy. Sherline same. The real problem is that to go heavier duty than either of those, is looking at several thousand dollars more investment. Going with an older, commercial grade machine becomes an investment in tools and tooling, as well as in the capability to move the stuff, if that is part of your life. Trade-offs and compromises, eh?
Take a look in the CNCzone site, at the different forums there. Tormach probably has the best support base, Novakon, Syil, Mikinimech, are using similar base iron for their builds.
In the small, but actually built to indstrial standards, category, Dyna Mechtronics (DM2800 and above), Emco, and a few others, built ballscrew equipped, small machines. Aged electronics and not much of a support base, though.
Above that, it runs the whole gammut. You either get too much to deal with physically, or too much to deal with electronically, depending on how big or how old the unit is. I have seen Haas milling machines listed in the $2500 range (old OLD model, needed a bunch of work), right on up to whatever brand new machine you need to make a living (or lose your shirt) with.
Learn what the capabilities are, learn a bit about machining (you REALLY need to know what is going on, if you expect to make anything useful happen) and generally do your research first, or you will be just another guy that loses his shirt or mind on this stuff.
Try to decide if you are wanting to make parts, or fix old machines (or new ones, for that matter) and shop accordingly. Educate yourself first.
If you don't have a metal lathe, like as not, you should. Then a mill. Then start getting serious about CNC. Just my opinion.
Cheers
Trev