I started building a CNC mill this weekend using a lot of the ideas from Tom McWire's popular instructible:
http://www.instructables.com/id/Easy-to-Build-Desk-Top-3-Axis-CNC-Milling-Machine/
The z-axis support is 6" x 1.25" lumber that is box jointed. This is an extremely rigid assembly. The leveling feet probably aren't necessary but they were 35 cents at Ax-man and a bit classy.
Here is my acrylic x-axis with aluminum channels, built on a piece of MDF. Menards didn't have ball bearings of the correct size so I'm trying a small, nylon shower curtain roller that is handily threaded. It turns easily with very little play and I can't imagine much difference between this and a ball bearing for this application.
Here are aluminum-wrapped coupling nuts for the three axes. Using long couplers instead of shorter tee-nuts is a great idea from the Tom. Also a great idea is using tubing to connect the stepper motor shaft to the threaded rod. I've been looking for a good way to make that joint for a while now and this is perfect.