I would go spend some time at seattlecoffeegear.com-- they have tons of helpful reviews, videos, etc., plus you can ask questions about specific models (via the internet, or even on the phone). If you decide to buy they often have the best prices (which is how I originally found them).
A lot depends on how picky you are (i.e, whether convenience is more important to you, or whether the perfect espresso is), whether you want mostly milk drinks, and whether you want a "self-cleaning" super-automatic milk frother (aka "one touch cappucino).
You can get a decent machine for a few hundred, but depending on what you want you could also spend $1500 or more.