The Grinder is not an Optional Thing
I still cannot stress enough how important it is to get a good grinder, even before you buy an espresso machine. Don't skimp, don't blow it off. Get one if you even dare to hope to have quality coffee in the home.
The following is a list of grinders to think about. This list is by no means complete, and there are other very suitable options on the market I haven't listed here. Apart from the looks there are two important things with a burr grinder - the quality of the burrs and the precision of the adjustment/bearing mechanisms. Ken Wilson has put up some of the old articles from alt.coffee and other sources about modifying grinders (some of which are listed below) to accommodate the espresso fineness required for great shots.
The burrs on some of these (and some not listed, like the Gaggia MM) are generally not very high quality (exceptions exist of course. In general, these provide only consistent maximum particle size, with a variable amount of fines and dust. However:
Bodum Antigua, (Costco, $65 or so)
The Antigua has the same burr set as some of the grinders in the mid-range prices, but emits more noise and does demonstrate some static problems. This is the cheapest grinder I can (barely) recommend.
Krups Il Barista, (Around $80)
It's hard for me to recommend this grinder as there have been many negative reports (and some positive ones), and it is no longer made. However, they do turn up still at overstock stores and on eBay. Consider it if only no other option exists, and you happen to find one.
Zassenhaus Manual Mills, ($40-$80)
Some people swear by them, but to get a good grind for pump espresso machines, be prepared for several minutes' work per shot. Available in tabletop and knee (pictured) versions. Sweet Marias stocks tons of them.
Mid Range Grinders
At this level you are getting well fitting brass burr holders and precision bearings in some models, and good pattern conical burrs (in plastic housings) in other models. The burrs are similar in appearance to those on professional grinders, but generally smaller. The conical burr models offer great value for the prices.
Saeco M2002 ($100-$120).
With the Saeco, you're moving up into a "quality" espresso grinder. This is what I would consider the lowest acceptable grinder for medium general use. Expect 2-5 years out of this before it's time to upgrade due to dull burrs or poor performance.
Starbucks Barista / Solis 166 ($100-$130)
The Solis grinder, rebranded by Starbucks, is a good all around grinder with one serious shortfall - not enough grind selections. And the variance between "clicks" is pretty large, especially compared to a Rocky. Still, many people are happy with this grinder, and I have used one myself for almost 2 years as my "grind for everything except espresso" grinder, until it died.
Solis Mulino grinder ($100)
Because of Starbucks and their litigation department threatening to sue Solis' N. American importer, the Mulino grinder was introduced to replace the Solis-brand 166 grinder. The Mulino is essentially the same grinder as the 166 in a different body, and easier to modify the grind. Still not enough clicks, and too much grinds left in the "chute" inside, but a good choice for many.
Solis Maestro Grinder ($130-$145)
My top pick for this category. This is the replacement for both the 166 and Mulino grinders, and is a solid performer, handling espresso to press pot grind with ease. Has some unique features built in, including the option to grind directly into a portafilter. Fairly quiet, nice looking, and a great company backing it. I wrote a detailed review on this product over at CoffeeGeek.
Isomac grinder ($150)
I know nothing about this grinder, other than the people who own it are big fans. Hard to find. Read some reviews on it over at CoffeeGeek.
Upper End Grinders
These are serious performer grinders for the home that could also double as light to medium commercial models, especially in the capacity as a decaf or second grinder. Most feature flat burrs with a brass mounting, and dosers, but there are some doserless models and conical burr models in this category.
Rancilio Rocky ($200-$230)
This is by far the best grinder on the market in this price range. It produces an excellent, even grind and is built for longevity - the Rocky has been on the market for 10 years now. Some negatives include poor fitting lids and a rather cheap doser assembly, but most of the money on this grinder was spent on the motor and grind plates and inner assembly. Very worth the money, but only if used as an espresso grinder. Using for non-espresso is a bit of a hassle for many.
Gaggia MDF Grinder ($200)
Gaggia MDF owners love their grinder, but between this grinder and the Rocky, the Rocky is a better deal. Still, you can't go wrong with the MDF, and if the Rocky is hard to come by or the MDF is at a special price, definitely go for it.
Innova Grinders ($190-$250)
Innova Grinders are brand new to market, and available in several variants, including doser and doserless models, conical burrs, flat brass burs, and with automatic options available as well. These grinders are very capable and have what is called a "worm drive" grind selection that is completely stepless and very, very finite. Recommended.
Mazzer Mini ($375-$600)
Possibly the best espresso grinder ever made, home or office (or commercial) use. Well, not necessarily the Mini, but Mazzer grinders are amongst the industry's best. The Mini is the most polished, most solid, and most capable grinder I have ever personally tried. This is the be all, end all, and in my opinion, highly worth the price.
Nuova Simonelli MCF, Others ($350+)
By the time you get up to this price range, you can't really go wrong with any grinder you choose. Keep in mind these are usually commercial grinders designed for espresso use only. Will last forever in a home use setting.