I have a Sieg X2 converted to CNC with flood coolant and I love it. Aluminum and mild steel are fine. Slow RPM is one of the bigger issues when using small end mills but otherwise it's a solid machine. If I had a touch more money, I'd have gone for the X3 to get a larger work envelop - the y axis is only 4 inches on the X2. I use EMC2 to control it and I run a GeckoDrive g540 driver with 380 oz/inch steppers and the CNC Fusion ballscrew kit. If you get an X2, you should stiffen where the column attaches to the base a bit - that plus coolant makes it far easier to run steel.
If you are willing to go to $5k in price, I'd head over to cnczone.com and ask around there. I bet you can get a killer mill for that price and they will certainly know the details. Remember that tooling can be horribly expensive. You also need a good vice for holding work as well as a dial indicator and ideally a dial test indicator. Then you get into collets, end mills, fly cutters, 1-2-3 blocks, parallels, etc. It adds up fast.
Personally, I'd set the price you are willing to spend and work backwards. Spec out your minimum tooling, then see what machine you can get with what's left. If you are frugal, you could get a 4th axis in there which makes it far easier to cut gears, pulleys, etc. Very useful all around. Saving a couple of hundred bucks elsewhere can get you the needed parts for a high-speed spindle + vacuum table for milling your own PCBs and doing high-quality engraving too. I'd also make sure you account for an enclosure and coolant - I prefer flood with a good enclosure - it both makes for higher quality work and a lot less mess to clean up. Good luck in whatever you decide!
-Mike
