Well, I have some time on the machine so I thought I'd update this thread for those searching for something similar in the future. I wanted to edit my first post to include this information, but I couldn't figure out how. *doh*
Starting from the core basics, this would be my recommended starter set for the stuff I have been doing (mostly building tools to aid with mechanic work and fixtures for setting up weldments).
Machine Setup
1) 0-.030" x .0005" test indicator for tramming mill, checking gibs, etc.
2) Indicator holder - I have a collet mount which works fine, but I may pick up a spindle mount in the future.
3) Oil for ways and lead screws
Work Holding
1) Vice
2) Clamp set - Import sets are very affordable and do the job just fine.
3) Parallel set - I got an import 10 pair set for a good price from Enco.
Work Tooling
1) Jacobs style chuck with tapered shank (collet mount would suffice as well)
2) Center drills or spotting drill sets
3) Complete fractional drill bit set. This is sufficient for most of my work, though I'm finding that I need number and letter bits on occasion for tapping holes.
4) Decent sized end mill set. My 20 piece included both 2 and 4 flute ranging in size from 3/16" up to 3/4". Interstate brand through Enco was priced right for me.
5) Collets sized to fit your end mills
6) Edge finder
7) Tap and die set
8) Countersink / Chamfer tool
9) Boring head with bars (import kits available through Enco)
10) Cutting fluid (WD40 for alum. Haven't nailed down a good fluid for steel yet but anything is better than nothing)
Cleanup
1) Shop Vac - I believe I got a 5 gallon model.
2) Brushes for keeping chips off of the ways and out of the t-slots. Don't rely on compressed air - it can force chips between the ways
3) Lots-o-shop towels
I'd say that was enough to get me going. I'm still accumulating tools as I do more jobs, but I'm able to square up stock, cut keyways and slots, accurately lay out and drill holes, and enlarge holes for shafts with these tools. Threading has been necessary on occasion so I threw those in there as well. If you're building assemblies, threading and fasteners will almost always come into play.
I've found that I need to cut larger radii and arced slots lately, so I pulled the trigger on a rotary table just this morning. I'm sure my tool collection will continue to grow as I find my way in the world of machining. It's been a fun journey thus far and I'm excited to see what I'll be making in the years to come.