Like Hood says depends on what your going to do with it.
For my engraving / light weight milling machine, using steppers, I used a 16mm dia x 5mm pitch ball screw which has an adjustable nut to take out the backlash and 2.5 gearing. Overkill, but i used what was available. The steps per unit are 25000 / resolution 1/25000=.00004", but ....., in practical use i can hold the depth to 0.0005 which is fine for the engraving work i do. The screw is rolled.
One of these days i will change the Z on my Atlas mill to be ball screw driven and will use the same ball screw for it.
You need to consider how accurately you what the movement to be, the torque required for the machining, how fast you want to move the axis, have an axis system appropriate for the machine, and then design / pick the appropriate components for what you want to do ( within the cost restraints you place on the system ). So there are trade offs to made.
So do thinking / homework before you buy so you won't be sorry later on.
You may want to take a look at my Lathe conversion in Members Docs since it provides some design considerations before i started.
Rich