Some thoughts on the smaller (7 x 12) and larger metal lathes.
7 x 12 (I own one of these)
Pros: For the past 2 years or so, I have used this exclusively to make all my pens, bushings, pin chucks, centerbands, finials, in wood, plastic, wax and silver. Using taps and dies for the threaded sections I have and continue to make mostly kitless pens on this. It is a great machine to learn on, poses less danger than the larger machines, and maintains its value (try to find one used - they are difficult to come by). In addition it has a small footprint, accessories are readily available and the cost is not too outrageous for what it does. A little reasearch on the internet will show that some pretty sophisticated parts have been produced on these. With the expection of the pens that are made with CNC mills, I haven't seen a pen on this forum that couldn't be made on one of these.
Cons: While this machine is very capable of cutting threads, even multi start ones, changing gears is a little inconvenient. There are a few parts that need an occasional adjustment, but I have found this to be more of a learning experience than a burden.
Larger machines: As with anything else, it is always nice to have an upgraded machine with better adjustments. The biggest advantage of a more expensive machine would be a gear box that adjusts the feed rate with a few handle adjustments without physically changing gears. This would only be needed for threading.