Your spindle is what will actually be driving the bit or end mill that's contacting and milling your workpiece. For most hobbyists this will (at first) be something like a Dremel or Rotozip, then will eventually graduate to a full router or milling head of some kind - depending on what you are working with. For wood and such a router is the perfect choice, and for metals you'll probably want some other form of milling head with a motor that can be slowed down to speeds appropriate for milling metal.
The spindle will be attached to your Z axis.