I always cut aluminum dry on my router. The one problem I have is drilling holes / pocketing really small diameter holes that are close to the diameter of the bit. If I don't shoot some WD40 in the hole, I'll frequently clog the flutes of the bit and break then break the bit. With the WD40 it works great. That probably wouldn't be as much of an issue if I was using the correct rpm for the feedrates I can run, but my router only goes down to 10k rpm.
CNC mill build thread: http://www.cnczone.com/forums/vertical_mill_lathe_project_log/110305-gantry_mill.html