With a 3D printer, you can create anything you want by adding multiple layers of material one on top of another. With a 3D mill, you can create anything you want by removing multiple layers of material, one after another. It's the other half of your desktop DIY kit, and it's now affordable, more or less.
A milling machine is essentially just a fancy, computer-controlled power drill. The drill points down from the ceiling, and it can move in three axes: up and down, side to side, and front to back. By combining all these axes and being very precise about it, you can create all kinds of things by starting with a solid block of material and gradually carving away everything that you don't want. So in the same way that a 3D printer starts with nothing and builds up material to create objects, a 3D mill starts with a block of material and cuts it away to create objects.
The advantage of using a mill (as opposed to your average 3D printer) is that you can be much more precise about the shapes that you make, and things come out looking far cleaner. 3D printers are constrained by the thickness of each layer of material that they put down, so the resolution of your object can't natively be any smaller than one layer of stuff. A mill, on the other hand, can cut perfectly smooth and seamless shapes. The downside, though, is that your typical three-axis mill only operates top-down, so it's impossible to make anything that includes void space (unless you flip your piece over and mill it again from the other side).
This little automated mill in the pic above is the Roland iModela iM-01, an "affordable" (at about $1,000) 3D mill specifically designed for hobbyists. It can cut through wax, foam, balsa wood and plastics and has a working area of 86 x 55 x 26mm, with a resolution of 0.01mm, which is small enough to create custom circuit boards and detailed wax molds for casting things out of metal. Apparently, it takes roughly forever to mill large objects out of solid blocks, but it's the sort of thing that you can set up and then run overnight.
So, should you buy one of these instead of a 3D printer? Well, the two aren't exclusive, and they do different things. Personally, there's something I find appealing about starting with nothing and ending up with something as opposed to starting with something and ending up with less, but on the other hand, being able to make a smoothly finished product is appealing too. What the heck, just go buy 'em both, and save yourself a fortune in baby stroller parts.
Watch the iModela carve some stuff in the video below.