The design of the machine really has to be entirely based on what it is you plan to use it for. The machine I'm building is intended to cut wood using a RotoZip cutting tool. I'm going to use it to cut basic shapes for making Adirondack chairs, so mine doesn't need the kind of precision that you would need for machining. I'm also trying to build this one as cheaply as possible, I figure I'll get it working, work out as many bugs in the design as I can, and hopefully once I get a better idea as to where I'm going with it, I'll use it to cut parts to make a better machine in the future.
My machine is made structurally out of about $15 worth of lumber and a few $5 aluminum angle irons that I cut to the lengths needed. The structure is built out of pine 2x4"s and 1x3" pine "strapping". My X axis is about 15" long (with 10" possible travel) using a cog belt, and my Y axis is 4' long (with 40" possible travel) and uses a common V-thread rod. The gantry is made out of the strapping and has two 3/8" steel rods with the cog belt between them, with a carriage made of strapping with nylon spacers used as bushings to slide on the rods. The gantry rides on rollers designed for those glass shower curtains (4-pack for $3 at Home Depot), and they roll on 3/4" aluminum angle irons mounted to a 1x4' sheet of pine that also doubles as the work surface. Since I'm only doing 2D cutting with this machine, I'm using a servo for the Z axis just to raise and lower the bit.
The Acme-thread (square thread) rods are better for this, but like crOsh said, they're "hella" expensive. The more common "V-thread" rods are cheap ($6 for a 4 foot one), and with a nut fixed to a rod to drive the gantry and enough oil (PB-Blaster in my case) it seems to run well enough. The other nice thing about the V-thread is that it can fit standard lock-nuts. The rod runs through ball bearings I salvaged from an old skateboard (you can get an 8-pack of them brand new for 15 bucks, but go to an actual skate shop, the "replacement" ones they sell at most places are way overpriced).
Both stepper motors, the cog belt and pulleys, the parallel cable that I spliced to connect the gantry to the driver, and the power supply all came from an old InkJet printer I found on the side of the road on trash day.
If you're creative enough when it comes to finding parts, then don't let the money aspect sway you away from attempting this, my whole bill of parts is under $100 since so many of the parts are coming from other places and things.
I am finding out that it might be too much effort for me to get the Adafruit motor shield to drive this, so I'm probably just going to create my own driver, I might set out on that today, even sacrificing parts from the AF shield if needed (those L293Ds are hard to find offline, and I don't feel like waiting for them to come in the mail). I'll just build a driver based on the RepRap one so I can use their G-code interpreter.