Some time ago we good an EGX-300 engraver from Roland in the hope of doing small 3D and PCB prototyping. As far as the 3D goes, try the Modella tool that comes from Roland is not too useful for any kind of complex 3D design and most people seem to use VisualMill to generate the tool paths from standard 3D files. An example guide is over at instructables.
The EngraveLab software that lots of EGX-300 vendors try to push with this device has so far proven to be fairly useless for 3D work and can be considered to be a waste of 1000USD for this application. (It turns out that EngraveLab is useful once you get some details worked out.)
As far PCB milling goes, pharmacy I have had a hard time finding a commercial package that will take a Gerber file and create a toolpath to send to an engraver without using some messy intermediate step. One guide is available from UMass which relies on PCBMill web utilities by C. Scott Ananian. These are written in JAVA but have some portability issues with the compiler available for OSX (workgroup server). I have email the authors of the UMass webpage and Ananian about commercial packages and have found none so far. I will try to compile PCBMill on a FreeBSD system next and will post the results. If anyone has reasonably priced alternative software suggestions, please let me know!