Homebrew PCBs

I am considering getting a small DIY 3 axis CNC router, something like this:

http://zentoolworks.com/

To, amongst other things, make PCB's with. Clearly a useful tool for drilling holes, but I have seen youtube videos (eg http://www.youtube.com/watch?v=cFQotB1aQBQ) of people using this type of device for milling the pcb itself.

I currently use UV Sensitive PCB method for making prototype boards which is OK, but is time consuming, can be error prone and messy.

Anybody got any thoughts on milling PCB's? Good, bad the ugly?

One though that occurred to me is that after making it, spraying some form of solder resist to the board and then using some sort of polishing bit to remove the resist where needed might be a nice touch?

Mat