Just to add to the good discussion, a key benefit of having your own mill (aside from increasing efficiency) is to have control over your crush so that it will be CONSISTENT. It is almost impossible to replicate a recipe or fine-tune it if you can't anticipate what your efficiency will be.
I know a lot of LHBS's keep very strict control over their mills and don't let customers fiddle with them, but many don't pay close attention. From some of the posts on this site, it is also obvious that a lot of LHBS's don't even know how to properly set and use a mill themselves. I would always be concerned that I wasn't getting the same crush from batch to batch using someone else's mill. Consistency is key -- in fact, I would even value a consistent crush at say 70% efficiency much more highly than an unpredictable crush that yielded efficiencies between 75 - 90% (unpredictably).