If you are getting collets for toolholding (IE, end mills, etc), go for the R8 collets, or grab some R8 end mill holders. You may also want to grab an R8-JTxx adapter to fit your drill chuck if you don't already have one.
Another option is to get an R8-ER collet chuck and a set of ER collets. As I understand it, some people prefer this arrangement to R8 collets/toolholders because you don't have to loosen the drawbar to change a tool, you just loosen the collet nut. Of course, this is a bit more expensive.