See this thread - second post
for a good picture of how coarse grains should be crushed.
It is much more important for all grain than with extract because of the larger volume, but in both cases you want to expose the inside of the grain, while keeping the husk as intact as possible. Coffee grinders, blenders, food processors etc. destroy the husk, and will likely result in excess tannins (bitter flavors).
You can crush small amounts of grain reasonably well with a rolling pin, or a framing hammer (seal some grain in a ziplock bag, roll it or hit it until it looks right, then repeat), but you will get much better results very much faster with a grain mill.
You can buy pre-crushed grain to save you the trouble, but as it doesn't last as long as whole grain, it may not be fresh if the store does not have a rapid turnover.
Many homebrew shops also have a grain mill in the store so they only have to stock whole grain (which lasts about 1 year), but allows the whole grain to be crushed when you buy it..
Hope this helps,