First you must decide do you want just a mechanical machine, a digital one and if the latter do you want to create your own designs? Some machines have built in fonts, for others you must buy them as designs on a disk or download them. The software you use will also allow you in many instances to create 'Fonts' using image files and some use regular TTF fonts like your computers 'Word' program does. I prefer those that allow me to use a TTF font, then I am almost unlimited as to what and how I can sew out monograms or words. Be careful, saving money on a machine now may cost you in big headaches later, the same with software. I have owned Pfaff (now owned by a completely different, lesser quality company...almost as bad as the new Singer machines) Janome, (I did not like their customer support or their software and would never buy another one) and Babylock , which is a 'better line' version of Brother machines. By far I love the Babylock the best. Customer support from the corporation as well as from my dealer have been great.
Research individual dealers, I would not buy from a big-box store...where will you go for advise? You will need their help, believe me. Buy from a dealer in your area, not online, where they will in many cases give you free lessons. I will warn you, once bitten by the embroidery bug you will probably want more features than you think you need now. If you simply want to do embellishments look into that type of machine and not a full blown embroidery machine. If you want to get really serious about embroidering buy a decent embellisher or a embroidery only machine not a home embroidery / sewing machine combo, most of them are way over priced.
Good Luck and Have Fun!