suffice to say, there is not much you CAN'T make with a decent CNC setup. If you're looking to create external threads or non-standard internal threads, you need a lathe with the proper tools.
i'd look at the CNC Jr. from CNC Masters. (i think just cncmasters.com) That gets you everything you need to go full 3-axis CNC for about $6000. It weighs somewhere in the neighborhood of 800lbs so make sure you've got space and support for it.