I've got the Proxxon CNC Mill and Lathe. Had to buy them from a company in Italy as Proxxon USA doesn't sell them or support them in the USA. Had to get a 110 to 220 power converter, as they are not setup for USA power but they really are nice. They use their own protocols so are not compatible with Mach III/IV. They use ball screws instead of lead screws and that was the biggest reason I chose them.
Pricey, very pricey, but much better made then the Harbor Freight/whomever Chinese manual variety. Reproducabiity of parts was tedious and in some case not doable do to sloppy backlash. I CNC'd the Harbor freight variety but spent more time dealing with backlash so as to make it not worth the while.