Even a $0.25 CPM on a site like digg.com can get expensive relatively quickly. It really depends on what your end goal is. Is it ROI-based or simply increase traffic or awareness. If ROI, you need to estimate what type of conversion rate (I'd start with 0.5% or less) and see what bid range you can afford.
If you just want to try to get traffic, then as the previous reply mentioned, start low and see what type of traffic you get. If it isn't enough, you can slowly raise your Max CPM until you get the traffic levels you are looking for.