I wish there was more small scale milling operations going on. I've seen so many nice trees chopped into fireplace logs. It really sucks when you find some really nice wood and it is in two foot pieces especially when it is black walnut, hickory, or curly maple.
Chain saw mills like those produced by Granberg are an even cheaper (although more wasteful) alternative, if you already have a chainsaw.

Granberg (http://www.granberg.com/)