It was really hard to justify building something from scratch, or even buying the press for my existing dremel, when for $70 you can buy that little drill press from RioGrande (who BTW were awesome to deal with).
From the picture, the drill press looks bigger, but the whole thing is only about 30cm high (12" for those 3 non-metric countries), and is a perfect addition to my garage. I tend to use 0.8, 0.9, 1.0 & 1.2mm drills the most, and got some cheap from China, so far I've only broken one bit in a couple of years. The big thing with a drill press is keeping it perfectly straight, and while the motor on this isn't the strongest, the mount drills perfect right-angle holes, and hence doesn't endanger drill bits.