I used to make PCBs at home, first using toner transfer and ferric chloride (never again, impossible to avoid staining everything in your lab), then with a UV lithography mask (photoresist and a laminator) and an exposure box used for making stencils. The UV stuff is actually pretty good, you can easily go down to 0.5mm pitch with some practice. Etching is still a pain, but I started using a clear etchant (sodium persulfate?) which at least didn't stain everything. I briefly experimented with laminated and cured solder masks, but that's also tricky. Never got round to silkscreening, though apparently you can do it with coloured foils.

Drilling is a pain in the ass. The bits break easily and drilling accurately, even with a press, is hard. Milling makes this so much easier. Then you need to think about plated through holes, do you rivet? Do you just put some 30 gauge wire and solder?

Nowadays I find I rarely need to rush boards and Oshpark is so cheap it's ridiculous. There are cheaper companies (I've yet to try Dirty PCB), but you get 3 boards, ENIG and really good tolerances for free. Even rush shipping ($20 international fedex) is cheaper than getting it done here in the UK. The only competitor I've found is Ragworm, and they're both more expensive and you only get one board with HASL.

Unless you really want a board made now, I would say just get them made for you. The quality is so much better without spending tons of time. Of course sometimes you really do want a prototype instantly and if you want to make a weird shape - perhaps a really long rectangle that would cost a fortune to get made, it's worth having the kit in your house to do.

On the milling side, I'd be tempted just to buy a Spokeo mill which can apparently do reasonably good PCB milling. Costs a lot, but at least it'll do other things as well.

I've recently got access to a lab with some very expensive rapid protoptying kit (from LPKF), which I'm keen to try out. It can even do 3D PCBs laid onto plastic components.

The homebrew 3D printing/milling scene is turning into such a cool, viable space these days. There's not enough time to build all this cool stuff!