In my opinion any all grain brewer should look at buying a grain mill once they have decided upon a technique (either traditional MLT or BIAB -- brew in a bag) and obtained the necessary supplies to make beer. There are two really important reasons why all grain brewers either need to obtain their own mill or at least have access to another brewer's mill. First, owning a mill allows you to buy grain in bulk or buy grain for multiple future beers, which lowers the cost of grain and lowers shipping costs. Many shops give free or reduced shipping on orders of more than a certain dollar amount. Additionally, the fewer orders you place the fewer times you have to pay shipping, so that is a direct savings. (However, if you only place orders locally and your local shop has cheaper grain than anywhere online once shipping is factored in then this may be a non-issue for some people.)
Second, the crush is a really important part of the mash and if you use the store's mill, you cannot control it. The crush has a major effect on the mash efficiency, which in turn affects not only whether you are hitting the right pre-boil gravity (producing the beer you hoped to produce), but the lower your efficiency the more grain you have to use for the same beer so the more grain you have to buy. It is often asserted that stores have very light crushes, which means you end up with low efficiency. Not hating on stores but either whoever set up the mill had no idea what they were doing, they were lazy in setting it up, or they intended to lower efficiencies to sell more grain or extract. Additionally, depending on your mash technique, you need a different kind of crush. A MLT brewer (those of us using our trusty igloo coolers for mash tuns) needs the crush to break up the grain as much as possible without shredding the husk because we need them to act as a filter bed during draining and sparging. However, a BIAB brewer should actually run their grain through twice to further break up the grain since the bag acts as a filter so there is no need for the husks to do anything. This allows a BIAB brewer to obtain much better efficiency than the rest of us. A store mill won't be changed to accomodate a BIAB brewer. Furthermore, if you are crushing atypical grains, such as unmalted wheat, spelt, rice, etc. the normal settings on a mill may not be well suited to break up these grains and will require adjusting the plates or rollers to get a good crush.
There are three types of mills used by brewers. One is the high end, roller-based mill. (Here is an example: http://schmidling.com/maltmill.htm) The second is a cheaper alternative, the plate-based mill. (Discussed below) Third, a small set of brewers have adopted various other tools, such as modified pasta makers, the mill attachment for the kitchenaid, etc. Because such as small subset use this last option I'll exclude it from further discussion. If you want to find more about them, google will help you find your way.
Most roller and all plate mills come with a hand crank. Either version can be modified to be motorized. Handcranking is not difficult, although it is time consuming and after 8-10 pounds, it starts to get exhausting. The key to motorizing a mill is to get a high torque, low speed motor. Too low of torque and it won't turn but too high of speed and it will shred the grain rather than mill it. Some people use appliance motors but the most common DIY option is to fit a drill to the crankshaft. A good $40-50 drill should be suitable and in most cases is easily adapted through the use of a common drill bit fit into the crankshaft after the handle is removed. I have not motorized my mill because I do not have such a drill and since I make 3-5 gallon batches, it's not worth the money to buy a drill for a little extra arm workout. If this is something you are interested in doing, you can always motorize your drill down the line and google will again point you in the right direction.
As with anything in brewing, there is a debate over what kind of mill is the best. Roller mills are better built and will produce a more consistent crush. However, they are much more expensive. Plate mills are much cheaper and can be modified to be more consistent, although it requires you to give up the ability to easily modify the gap, which allows you to change the crush. (This thread discusses the process. A better search of HBT should lead you to some pictorial instructions.) Again, I have not made that alteration to my mill in the event I need to change the crush. Roller mills are typically designed to be adjustable with less effort than a plate mill. I don't necessarily believe one is uniformly better than the other. It depends on what your budget is and what fits your needs.
The biggest problem with any mill is keeping the dust and grain pieces in the right place. Plate mills are much worse than roller mills in this regard. Although both spew dust, the roller mill shoots all the grain pieces strain down. A plate mill sprays grain pieces and dust in all directions. For that reason, you have to consider some sort of shield to guide your grain into a container. Either way, most people have some sort of construct to direct the grain and capture it. I use two different set ups depending on the size of the batch. I will explain both below.
Ok, so let's say you have decided you're going to join the cheaper side of things and go with a plate mill. Plate mills are designed primarily for agricultural purposes, to crack corn and other grains for animal feed so the animals can swallow and digest them. They are also sometimes used to produce flour from grain. Unlike roller mills, they are not designed explicitly with homebrewers in mind, although many companies are aware homebrewers use their products. Plate mills work by using a corkscrew shape around the crankshaft to push grain towards the two plates. The plates have spokes on them that flare out in opposite directions so as the grain comes out of the middle hole they are spread out between the spokes, get caught between the plates and are broken up by what becomes a pressure and twisting caused by the design of the plates, even though one plate is stationary and one is rotating on the crankshaft. An additional problem most brewers have with these mills is that the hopper, the bowl on top that feeds the mill, is very small so you can only fit so much grain. Some mills have extended hoppers you can buy but there are some simple modifications (explained below) that cheaply do the same thing.
Plate mills are sold as corona mills, victoria mills, grizzly mills and dozens of other brands. Some are better constructed than others. I recommend buying either Corona, Victoria, or Grizzly.Corona mills are often sold in homebrew stores and are the most expensive. Personally I own a grizzly mill which I bought on Amazon for about $24. (http://www.amazon.com/Grizzly-H7775-Cast-Iron-Grain/dp/B000E34C5M/ref=sr_1_2?ie=UTF8&qid=1311780079&sr=8-2) They run between $20-$25 on Amazon. I have been completely satisfied with it. The reason why I suggest not buying other brands is because not all mills are the same size or the same quality. Some mills sold online and big box stores tend to be very small and may be of various degrees of quality. Poor quality mills do not keep a very consistent crush, may break easily and may not last. Furthermore, small mills will take considerably longer to fill and mill. The $10-15 price reduction for a lesser mill than a grizzly will probably come back to bite you in the ass. Additionally, many lower quality mills are poorly constructed, again affecting consistency -- which affects efficiency -- and may break or wear out over time.
You can also find used mills on ebay, craigslist and at garage sales. Since good mills are made out of cast iron, there should be no problem buying a used mill. However, if you are unsure of the brand, you may be buying a weaker metal that will wear down over time. If you are at a garage sale, examine the plates. If the spokes show signs of wear, the mill is probably not well designed, is not iron, or has been improperly used. A properly used mill should not show signs of wear on the plates unless it has been heavily used for years. However, running the mill with nothing in it causes the plates to crank against each other and cause premature wear.
If you bought a used mill, you can skip the next step. When you buy a new mill, it will come from the factory reeking of mechanical lubricant. You do NOT want this in your beer. So you need to wash it off. The best way to get it off is to use isopropyl alcohol (you can buy it in the pharmacy section of any store). Mix it with about half water, half alcohol, break down all the parts as much as possible and soak them for several hours. After the alcohol has had a chance to start breaking down the lube, get in there with a small brush, like a toothbrush, and try to physically remove the lube. After giving a part a good brushing, give it a great rinse. Then immediately dry it off as best as possible before moving on to the next part. After several minutes to part should dry well. To determine whether it is completely clean you can use the smell test. If it still smells like lube, do the process over again. Some parts will clean faster than others. You may have to put some of the parts through multiple times to remove the smell. You won't get rid of the cast iron smell, but you want the lube smell to disappear.
Once clean, make sure all the parts completely dry. A hair dryer or fan (whichever is available) will help make sure the parts are well dried before you put the mill together. Once you are sure everything is dry, put the mill together following the instructions. If the mill is adjustable you will want to tighten the plates to a proper setting for crushing grain. The common trick is to tighten them against a credit card. The credit card should be snug but still able to slide out. Since the crankshaft tends to move on these mills, you may need to put a card on both sides to make sure you don't tighten one side more than the other (and cause grinding). Then tighten the wing to keep your setting. Don't worry that the empty mill lets the plates move in together. When the mill is full of grain the plate on the crankshaft will push back to it's proper setting. Some people solder in the pin on the crankshaft to keep the crankshaft from moving and also put washes on the side bolts to further stabilize the mill. This is optional, I have not done it, but you can find instructions by googling or on HBT.
Congratulations, you have a mill. Some people build elaborate structures as a mill stand. All you need is a base to support the mill, a shield to direct the grains and something the grain. Again, you can find various constructs online. I am going to explain a couple cheap options. First, let's deal with the hopper situation. The easiest way to extend the hopper is to take a two gallon soda bottle and cut off the top and bottom. Then you can use tape or any other adhesive to attach the bottle, upside down, in the hopper. Below is my mill with this attachment. Beware, it is very ugly.
As you can see, I used packaging tape to attach the bottle. I didn't have duct tape on hand, which would have made it look a little nicer. You may also have noticed the plastic bottle is somewhat angled in. That is not by mistake. That was an intentional design to benefit one of the ways I use the mill.
Since you have a picture of this, let's go ahead and talk about the most basic constructs. Take your mill and attach it to a counter, table, or whatever you have to use. Be careful, the bottom support may damage whatever you attach the mill to. I have had no problems with the standard MDF countertop material but granite or a table, likely made of a softer wood, may be less forgiving. Once firmly secured, place a bowl or other container beneath the plates, as close to the vertical support as possible. Then take a grocery bag -- plastic is best -- and put the bowl in it and wrap the bag up over the plates and loosely tie it behind the plates. Yep, it looks ghetto as could be but it will allow you to keep the dust and grain pieces in one place. You could probably just use the bag as long as it does not have holes and you are careful to prevent it from coming loose as it fills. That's a good construct for a smaller batch since you're only going to fit so much grain under the mill before it backs up to the plates.
For those using an igloo cooler for a mash tun, here is a design for you. Secure the mill to one of the handles of your cooler with the vertical support laying against the lip of the cooler so the plates hang directly into the cooler. Then take a grocery bag (you may need a larger bag like a target bag or a clothing store bag), flatten it and cover the top of the cooler, again tying it loosely around the mill to secure it. Then you can mill directly into your mash tun. Since the mill leans, you lose a lot of hopper space because the grain will want to spill out the front. This is why I have the bottle-hopper extension tilted forward. (You may want to tilt it backwards, depending on how it fits on your cooler. If you just taped it in, it's easy to try taping it at different angles to maximize space.)
For you BIAB brewers, you can follow the tabletop method. You might want to shove a book or board between the mill and the surface to maximize space between the surface and the plates so you can mill more without having to stop and empty the bowl or bag.
With time you may decide to motorize or build a separate construct for your mill. There are incredibly simple builds using a homer bucket and some wood to build a base to support the mill and the bucket to catch the grains. You could easily use this design for either a motor or handcrank. Otherwise, you can keep your $25 mill and spend no further cash.