one more vote in favor of free weights:
1. You need to realize that the motion in a machine is NOT the same as with free weights for compound exercises. Most machines limit your motion to one plane - for example, strictly vertically. However, proper compound lifting motions are usually not straight. For example, when properly doing bench press, at the bottom of the motion the bar is at the bottom of the chest (around your nipples) and at the top of the motion it's near the top of the chest (around your collar bones). If seen from the side, it's a curved motion towards your head, not straight up and down. However, most bench press machines lock you into a straight up and down motion. Not only is this less effective in terms of strength gains, locking you into a fixed and improper motion is a very good way to injure yourself as you go up in weight.
2. The reason compound motions are preferred to isolation exercises is that by involving more muscles and joints, you get a better response from the body in terms if increased strength and size. Well, doing compound motions with free weights uses more muscles than doing the "same" compound motions with machines. As others mentioned, this is partially because free weights force you to use a lot of muscles to balance yourself that you won't employ when using machines. These stabilizers are very important in injury prevention and building overall strength. However, I again must point out, that since machines change the motion of the exercise, the differences in what muscles are used can be MUCH more than just stabilizers.
The best example is the squat. When done with free weights, it uses something like 70% of the muscles in your body: quads, hamstrings, hip abductors, calves, gluts, lower back, upper back, abs. As a result, it produces a strong hormonal release that boosts muscle growth in your entire body, not just your legs. If you do leg press instead, you almost completely remove your back, hips, and calves from the exercise and make it MUCH more quad based. You might get big legs as a result, but the rest of your strength gains will be significantly diminished. Even doing leg press on a smith machine (where a normal olympic bar is attached to cables inside of a squat rack) is not at all the same. The motion on a smith machine is restricted to straight up and down, which is not at all natural for a free weight squat, where the butt goes backwards and the body bends forward. As a result, doing squats on a smith machine has people essentially leaning back against the bar, which again removes most of the back, abs, calves from the equation and significantly reduces the effectiveness of the exercise.
3. Pull downs - and indeed, many cable exercises - are a bit of an exception. The cable gives you almost the same range of motion as free weights, so doing a pull down is very similar (as long as you use proper form) to doing a pull up. If you struggle doing pull ups with your body weight, they are a good way to work up to it.
Take your time and learn to do the exercises properly with free weights. Start with light weight - check your ego and do lighter than you are capable of - and work your way up. Focus on strict form and not weight. After a couple of months, your body will be used to the motions and you'll benefit on all fronts: compared to using machines, you'll be healthier, stronger and will be able to continue making progress for the long term.