Cause that's really the decision for me. I've worked in all of them over the years, and I prefer box modelling for organic forms. Sketchup/CAD/SolidWorks is great if you're machining a part, but if you're scratching a creative itch and just want to fool around, Blender/3dsMax/Maya are looser.
All tools have tradeoffs. Your question is open ended and it seems everyone's making assumptions about what you want to do based on the CNC mill. I will second starting on Sketchup for geometric forms such as machinery parts because of it's ease of use. You will have to go to the Pro version in order to export an STL file though. But if you want to make models for miniature painting or something on a 3D printer, you're going to have better luck with something like ZBrush or Dyntopo in Blender. It really just comes down to what problem you're trying to solve.
FYI, I see a lot of people hating on Blender, but it's pretty easy to make a closed form in it. BlenderCookie just put up a simple way to do it: http://www.youtube.com/watch?v=ZnCf-5G7DYc
If the OP can give more details on what the intended work is, I can give better suggestions.