I'm a big fan of the Sirena machine. Easy to use, makes great espresso, and it was designed by BMW design works. Looks good, works good, and only cost me $399.
My father owns a coffee roasting business, so when it came time for his retail store to sell small espresso machines, we tried almost every high-end model on the market. We finally settled down on two models by Breville.
http://www.brevilleusa.com/products/esp8xl/index.jsp?sku=esp8xl&cID=108&pID=8&pvID=8
I believe the specific models were the Cafe Roma Espresso Machine and the Die-Cast Espresso Machine ($299 & $399 respectively)
These two offered the best extraction flavor, ease of use, and the lowest/easiest maintenance requirements. I would strongly recommend either of these models, as I have not seen one for under $500 that can compete with them.
I also suggest you invest in a good tamper. Reg Barber cannot be beaten, but can get a little pricey.
No matter how good the machine is, poor bean quality will ruin any drink. shop around for premium espresso beans (not starbucks). This is were you will get your strong-tasting espresso. Have fun and practice, practice, practice!
If you need help with the process itself, let me know. I'm a barista.
I love Nespresso
Prices range from $200-800 for a machine. I use the $200 model, and it works great. You just use a simple capsule (come in a variety of flavors for both an espresso and a full cup). Takes about one minute to make.
Do NOT spend that kind of money on espresso/latte machines! Anyone who has spent time in Italy (especially in a personal home) has seen what they use and it simply isn't the fancy equipment that we pay hundreds of dollars for and then have to learn to use, spend hours cleaning, and periodically maintain.
They use simple stove top devices that make far superior espresso/cappuccino/latte. I'd suggest:
Cappuccino/Latte: http://www.bedbathandbeyond.com/product.asp?order_num=-1&SKU=13945667&RN=831
Espresso: http://www.bedbathandbeyond.com/product.asp?order_num=-1&SKU=113088&RN=831
The Illy line of coffee is amongst the most popular throughout Europe and is fairly easy to find in the states (just refrigerate the unused portion).
You could always go simple and portable, an Aeropress will make pretty damned great espresso or french press and you can take it anywhere.
If you want simple, you can get a superautomatic on sale for around $500, consider Capresso or Saeco. These eliminate the guesswork out of quantity, tamping, how long to pull, etc. The superautomatic machines will pull you a shot with the press of a button.
I have a Saeco Vienna de luxe (discontinued model) that cost around $400 and honestly makes amazing coffee. It's not the most attractive machine, but you get used to it.
As Andrew suggested, you can instead get a Moka pot for $25 (I have one of these at home) which is great and easy to use, but it is a far cry from real espresso. I wouldn't use it for lattes the same was I use my superautomatic.
Here's the thing: coffee snobs insist that you should spend as much on the grinder as you do on the actual espresso machine. With a budget of $500, you should be looking at a $250 grinder and a $250 semiautomatic. Gaggia has some low end models in that range.
I have owned a Breville Ikon espresso machine for about two years now. It makes a wonderful latte/espresso with some practice, and looks stylish; only downside is that i believe it is out of production, but you might be able to find one on eBay (like i did) for under $200 (MSRP of $399.99) or at amazon.com for $300.00. Best wishes!
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I'm a big fan of the Sirena machine. Easy to use, makes great espresso, and it was designed by BMW design works. Looks good, works good, and only cost me $399.