Anything near a CDRH Class IV (500mW on up, easily cuts/burns stuff), you'll want to invest in a pair of safety goggles rated for the laser wavelength your laser emits at, BEFORE you start thinking about getting the laser itself.
You can *just start* to burn stuff with as little as 60mW in visible wavelengths, but you'll want at least several hundred milliwatts to burn things.