Just to give you some idea what the ER collet system is about thought I'd show you a few pics of my system.
Collet set from 1mm to 20 mm

SR 32 collets lathe adaptor with a SR 32 tool holder doing the drilling.

SR 32 tool holder with milling cutter with the lathe collet adaptor mounted on the Rotary table.

Two types of locking nuts:- on the left a nut with bearing so you can realy get some grip, on the right the standard nut as supplied still good but you don't get the same level of grip for heavy machining

An adaptor to convert a C4 collet system to take ER32 collets

A Stevenson Indexer with ER 32 collet

Indexer in use

We've all probably got a favourate collet systems and they all have their good and bad points, but a collets are an expensive outlay so you should make your choise and pay your money but try and get the most out of the systems whatever you choose.
Cheers
Stew