Milling is the complex shaping of metal or other materials by removing material to form the final shape. It is generally done on a milling machine, a power-driven machine that in its basic form consists of a milling cutter that rotates about the spindle axis (like a drill), and a worktable that can move in multiple directions (usually two dimensions [x and y axis] relative to the workpiece). The spindle usually moves in the z axis.  It is possible to raise the table (where the workpiece rests).  Milling machines may be operated manually or under computer numerical control (CNC), and can perform a vast number of complex operations, such as slot cutting, planing, drilling and threading, rabbeting, routing, etc. Two common types of mills are the horizontal mill and vertical mill.
The pieces produced are usually complex 3D objects that are converted into x, y, and z coordinates that are then fed into the CNC machine and allow it to complete the tasks required.  The milling machine can produce most parts in 3D, but some require the objects to be rotated around the x, y, or z coordinate axis (depending on the need).  Tolerances come in a variety of standards, depending on the locale. In countries still using the imperial system, this is usually in the thousandths of an inch (unit known as thou), depending on the specific machine. In many other European countries, standards following the ISO are used instead.
In order to keep both the bit and material cool, a high temperature coolant is used.  In most cases the coolant is sprayed from a hose directly onto the bit and material.  This coolant can either be machine or user controlled, depending on the machine.
Materials that can be milled range from aluminum to stainless steel and almost everything in between.  Each material requires a different speed on the milling tool and varies in the amount of material that can be removed in one pass of the tool.  Harder materials are usually milled at slower speeds with small amounts of material removed.  Softer materials vary, but usually are milled with a high bit speed.
The use of a milling machine adds costs that are factored into the manufacturing process.  Each time the machine is used coolant is also used, which must be periodically added in order to prevent breaking bits.  A milling bit must also be changed as needed in order to prevent damage to the material.  Time is the biggest factor for costs.  Complex parts can require hours to complete, while very simple parts take only minutes.  This in turn varies the production time as well, as each part will require different amounts of time.
Safety is key with these machines.  The bits are traveling at high speeds and removing pieces of usually scalding hot metal.  The advantage of having a CNC milling machine is that it protects the machine operator.