First question, what mill do you have and what shape is the spindle nose? If you have an R8 spindle (or haven't yet bought a mill and have the option to get one with R8) I'd recommend using R8 collets with a drawbar. You don't need a huge range of sizes anyway, R8 collets are quite cheap, they grip like b*****y, don't get stuck, and best of all they are almost flush with the end of the spindle when holding a cutter, which maximises the headroom you have.
If your spindle is morse taper, you can get MT finger collets which need a drawbar and have many of the same benefits of the R8, except they don't grip quite so well and the taper can get stuck (but you can make/get an ejecting drawbar design).
Finally you can get an ER chuck on a shank to fit your spindle. If your spindle is R8 then in my view there's no point in using ER, it just eats up headroom and reduces rigidity. For an MT spindle then at least you don't have the problem of ejecting a stuck taper to change the cutter if you use ER. Depending on the machine and the biggest size cutter you want to use, most people seem to use ER25 or 32.
Most of the usual ME suppliers have collets and chucks, Arc Eurotrade, RDG, Chronos etc. Personally I normally buy from Arc as they've always given good service and have good quality stuff. I bought my R8 collets from J&L Industrial Supply. Or you can buy through eBay, with the usual caveats.
Personally I have R8 on my Myford VMB and have never seen the need for anything different except for drills that won't fit in a standard collet. My little CNC Novamill has an Int30 spindle taper so I use an ER16 collet chuck in that (you can't use collets direct in an Int30 taper).