Drills/cuttes are consumables, so we can ignore them, as the OP asked about equipment. In no particular order here are some things I use on my milling machines:
2-axis DRO – on the vertical mill, single most useful thing I bought
Machine vice – Gets used a lot on both vertical and CNC mills
Ground parallels – used almost every time I use the vice – mine were made by the late father of a friend who was a toolmaker. I also use gauge plate as poor mans parallels when needed
Clamp sets – you can never have enough sets, I have 3x½" for the surface grinder and lathe faceplates and 4×5/8" for the mills. Places like MSC have special offers, around £30 per set, so it's pointless making ones own. They have other uses to:

Drill chucks – can be shared with the lathe, but I have my own set of 4 that are also used with the CNC mill
Toolholders – I use 6mm and 10mm sidelock holders that are part of a "quickchange" system for the CNC mill, as well as the odd use of ER20 collets. I also have an Autolock clone and large sidelock holders for the bigger, >½" diameter, cutters
Angle plates – Over the years I have acquired a large selection from small to large. They get used reasonably frequently
Box cubes – Two acquired from Ebay, used more on the horizontal mill
V-blocks – I've got them anyway, although they're rarely used on the mill. If I need to cut keyways or slots in shafts I usually just rest the shaft in the central T-slot
Edge finder – For quick 'n' dirty I just touch off with the tool on the work, or vice jaws, and a fag paper. For more precision I've got a Haimer
Centre finder – Quick 'n' dirty is done by eye, or touching off on four sides and using the ½ function on the DRO; for precision stuff I've got a different sort of Haimer
DTI and Mag stand – Got them anyway; used on the mills mostly for setting the vice jaws parallel. Of course I could make some keys for the slots on the bottom of the vice, but the T-slots on all three mills are a few thou different, so I prefer to use the DTI to obtain a maximum of ±0.02mm across the jaw width.
Rotary table – Not used that much, especially as the DRO has a bolt circle function, but has it's uses:

My rotary table has a 1" parallel central hole, which I reckon is a darn sight more useful than a Morse taper, as it is easy to make up mandrels for locating the work.
Dividing head – Gets used quite a lot, more so on the horizontal mill. It's a bit of a lump to get bolted down, but with a 56/60 slot disk on the back it is very quick when using it as a spin indexer.
Tilting table – Doesn't get used that much, but very useful when you need to set precise angles and mine was cheap if rather battered:

El cheapo paint brushes – I use a 2" one for general swarf clearance and cleaning up, and ½" one for final cleaning of the T-slots
Nylon hammer – useful for tapping work down in the vice and general "adjustment" of part position
Boring heads – not used much, but like many things when you need it…………I've got a cheapo (Soba?) one for the vertical mill and a secondhand Wohlhaupter boring and facing head for the horizontal. The Soba one works ok, once I ground the supplied tools properly and replaced the cheesy setscrews – oddly they were Whitworth threadform
Apart from clamps and toolholders none of the above are essential to get going. I bought tool/drill holders, DRO, vice and clamp sets new; everything else was bought on Ebay, given to me or acquired elsewhere over time, even if I didn't have an immediate use. There are other accessories I have, but generally they're only available for industrial size mills, so no point in detailing them here.
I'm bound to have forgotten something, but the key thing to remember is that you can start with very little and build up as you go. You can get a long way with simple techniques. For instance want something parallel to the table? I just put a length of gauge plate in a T-slot and butt the work against it. No need to measure anything. Want it at right-angles? Use the gauge plate to act as reference for an angle plate bolted across the table.
Andrew
Edited By Andrew Johnston on 30/10/2017 10:50:21