Can you please post a material list for your project. I would like to build one. I just need a idea of things to get.
I can tell you the first two things you will need:
You are also going to need an idea of the capabilities of the machine you are looking to create; the accuracy vs. repeatabilty, what kind of tooling you plan to use, etc - so you know what kind of parts to get.
All of this can add up super-quickly (for instance, I bought a small micro-mill from Harbor Freight a couple of years back, but I have yet to buy any tooling, or even take the grease off, because I am looking at around $300.00 over the $400.00 I spent on the machine just for tooling! And this is a manual-style vertical mill).
If you want high accuracy and repeatability, you are going to need to use acme-thread lead screws and anti-backlash nuts, etc; that stuff is hella expensive! If you want low to OK accuracy (depending on what you can come up with to reduce backlash), regular all-thread can work. You are also going to want a drill-press to drill your holes for any machine, so everything is square. You might be able to get buy with a hand-held drill and some eyeballing...
Really, the cheaper option might just be to buy a manual vertical mill and attach stepper motors in place of the handles (although things get complex with the Z-axis, because you usually have to devise a counter-balance system for the mill head, which usually isn't there for a manual mill).
Even so, expect to spend at least $300 for the motors and drivers alone; even a reprap machine has expensive motors and drivers, but they are able to get away with less because they are moving a large spinning mill bit against wood, metal, and plastic, so less torque (and lower current requirements) are needed, meaning the motors and drivers can be smaller and cost less. For larger CNC mills, the motors alone can set you back several hundred dollars, while the drivers are very expensive ($100+ per axis) - and then there's the power supply to consider (you may need a 24-48 volt DC @ 20+ amps to drive the thing; those aren't cheap).
I would suggest you do a LOT more research before deciding if this is a project for you; yes, you can make such a machine cheaply that will do some work, but it won't be that accurate (but it will teach you a lot, I suppose). If you are serious about having a mill that will do real work for you, though, you need to research your options, what is needed, etc. There are tons of resources on the internet if you just take the time to google "homemade/homebrew CNC machine". There are entire forums like this one dedicated to the topic, in fact. Look around, many people have built such machines (many people have spent a lot of money doing so, too).aventgps
can post his list if he wants, but the fact you are asking this indicates that you need to do a wee bit more research on the topic before you even begin to open your wallet.