When I first started obsessing over espresso and coffee, about two years ago, I wanted to buy some machines that would allow me to make exceptional stuff but not drain my wallet at the same time.
After researching and investigating numerous machines, I settled on a Gaggia Carezza, a machine praised for its high quality innards and cheap price (I think I paid around $150 for it, a lot cheaper than the recommended "first" machine most people say to get, the Rancilio Silvia, which I now see is selling for close to $700). When I say innards, I mean the Gaggia has the same internal pipping, wires and other goodies that much more expensive machines have. The reason it's so cheap is its plastic body; pricier machines have heavy steel bodies, and some extra doodads that might matter if you were going to make a lot of espresso drinks in a row, but not so important for someone at home making a shot or two for himself.
Choosing a grinder is also important, in fact, many people say the key to making good espresso is having a good grinder. A whirly blade machine won't get the grounds fine enough. You want a machine with burrs, to grind the beans, not chop them, and a large motor, which allows the burrs to spin slower, and thus prevent the grinds from heating up too much during the process.
I went with the controversial KitchenAid Pro Line Burr Coffee Mill because an initial review on CoffeeGeek.com gave it a good rating, it looks great, and supposedly did a good job at grinding beans for numerous uses, from turkish (finer than espresso) to French press.
Both have worked well for me for two years. If I had the money, I'd splurge on this beauty, the Gaggia Achille, a manual machine that requires you to pump the water through the grounds. Now that's hardcore.