There are hundreds of espresso machines that do not have a (milk) steaming wand.
While it must cost less to manufacture a machine without a steam wand this isn't always reflected in the retail price and you can find steam wands on some of least expensive models. So don't rule out machines with steam wands - if you find a great deal on a modelone that has steam, you can just ignore it. And if you upgrade machines in the future, having steam may boost the value of your old machine.
One coffee enthusiast site that has a lot of user reviews of consumer espresso machines is Coffeegeek. You can also find many reviews on the Amazon site and many people swear by Consumer Reports.