The big question you need to ask yourself is what do you intend to do with it? I’ll be honest…owning a cnc is sort of like owning a boat. As soon as you buy it you immediately need a bigger one. So by trying to define what it is you wish to do with it, you can shop for a machine that will a least suit your initial requirements. Next you have to figure out what your budget is and see if it will cover the cost of the machine you need. If it doesn’t, then I will be honest; save your pennies till you have enough and resist the urge to purchase a lesser machine. Always allow at least 20% more for shipping/odds and ends/tax etc.
Next but not least by any means is the controller and the software. For the controller there are really two types of configurations: DSP and Windows based. DSP is a hand held unit hard wired to the controller. Windows based means you have controlling software such as Mach 3 or WinCNC running on a dedicated computer. Both have pros and cons. But the controller software does cost dollars. As for the design software it ranges from free to 2k US for a package like Vetric’s Aspire. You get what you pay for.
As Awerby said CNC machines vary tremendously. It can be particularly troublesome in Canada as the choices for the serious hobbyist are some limited compared to the American market given the state of the dollar. While we do have some choice there are a lot of holes in the selection. On one hand you have the Intellicarve which is available at Busy Bee and the Shark by Rockler distributors on the entry level end. These are really a carving machines that vary in price from approximately $2499.00 to $5499.00. On the other end of the scale you have The Professor HDX available at Canadian Woodworking made by CWI weighing in at around $8500.00 for the serious hobbyist/light production, but by the time you add the stand/tooling/software you are north of $11,000.00. It also depends if you want a Windows based or DSP based controller. Some of the nice machines available in the US are Shopbot and CamMaster but due to the weakness of the Canadian dollar you probably be on the other side of $15k by time you got through with the exchange/import/gst for an entry level machine. If you could give us an idea as to what you are looking to do with it and what your budget is then we could offer much more salient advice.