When making a custom screw, you can easily add a square or hex hole in a mill by rotary broaching. Although this is usually done in the lathe, it can be done on a mill to. One piece must be turning; either the tool, or the part. I've seen alot of small custom parts on this forum and thought this would be interesting. Here's our video that shows how to do it:
http://www.youtube.com/watch?v=uTsPXFy7Xx0