My own machine is built from steel. I agree with Desertboy - steel is a really good material. The welding doesn't need to be certified pressure vessel standard - follow some Youtube videos, read, practise, then do it all again. You can weld a structure that is strong enough without too much trouble. Not necessarily pretty, but it doesn't have to be pretty to work. But you do need a MIG welder and an angle grinder.

Strength - a lot of people here will tell you that you need heavy section steel box. They may be right. However, I used 3mm 50x50 and 100x50, and it works fine. Is it strong enough? I made a bit of a mistake this afternoon - I had generated my gcode with the zero reference on the top of the material but set up the machine with zero on top of the spoil board. So I plunged through 1/2" birch ply and a couple of mm of MDF spoil board and cut it at 3000mm/min at that depth with a 6mm carbide cutter in a shower of chips. I don't know what the limits of my machine are yet, but it seems to be stronger than I expected. Can it do fine work? I have repeatability (using a touch plate multiple times) of +-0.003mm, according to the Mach3 DROs. I have machined raised text, about 3-4mm high letters, into a lino-cut block to make a small printing block, using a v-engraving tool and VCarve to generate toolpaths. Came out very well. That's using a steel gantry that weighs around 40kg with spindle, etc.

I'm sure that other people will cut deeper and faster, but if you are doing fine work, you aren't going to be cutting that fast anyway. Don't ask me how my machine handles aluminium - I have only done a very small amount of cutting in that, not enough to judge performance. I would happily, very happily, go with steel again as a building material, though.