A lot of questions come up when the grain mill comes out. It's a simple device and most homebrewers find that they can get away with having the local homebrew shop mill whatever grains they might need, especially if all the brewer uses is malt extract and specialty grains. Once you become an advanced all-grain brewer you will want to buy your own mill to have control over your process. While I'm currently using the Monster MM3 Pro with hardened triple 2" rollers, yo do not need to spend much to get a decent mill for your needs. For about a decade I used a Barley Crusher and it is still functional, and the cost is a lot less.
Past buying your own mill, you need to understand the crush. One of the reasons that having someone else mill your grains can be a problem is that you are giving up a very important control point in your process, and some homebrew shops just have very limited knowledge of the importance of the crush, or really a lack of give-a-shit when it comes to grain milling. The crush can affect your beer in a big way such as resulting in low efficiency, and the quality of the sparge when lautering your grain bed. The short of this story is that you need to learn about grain milling, and get a basic understanding of why it is critical to your process. Once you have a good mill and understand it and the adjustments to the gap in the rollers and how they affect the crush, you will be way ahead of the pack. Your mill needs to be adjustable, and setting your gap can be as simple as a feeler gauge or a credit card for thickness. Most mills will be set from .035 to .040 on average, and smaller is not always better. Too small a crush and you are making too much flour and not retaining enough husk material to allow a good flow in the mash. Too large and your efficiency can suffer. A simple look at your gain can give you a decent idea if you are good, and after a few brew sessions to set the standard for your system, you will be able to make adjustments and see the results. Always remember not to change multiple variables in a process at one time or you will not know what action caused the change, for good or bad :-)
Here is a great book on everything malt related
For ultimate accuracy and efficiency you can go like the pros and perform a crush study using a set of sieves to see what proportion of sizes your mill is providing, and the ratio of husk and flour material in your crushed grain. All of this will be important later in your brewing as you advance and learn processes critical to certain styles and also learn to adjust for your particular system.
Here are a few resources to help with sieving...
Practical Milling Guide for the Craft Brewer
Milling Page from Brew Like a Pro
Article from Beer & Wine Journal