I have both ER40 and 5C collets.
For my mill, I usually use the R8 set that I purchased with the mill, but I do have the R8 to ER40 Collet Chuck so I can use them when required.
For the Lathe, I have MT2 and MT3 ER40 Collet chucks. Actually I have two MT3 ER40's, one came in with 1/2-12Whitworth threads and the vendor kindly supplied me a relacement with the standard 3/8 threads. One day when I was "boarded", as my kid would say, I turned up a drawbar for the headstock, 1/2-13 at one end and 1/2-12 Whitworth at the other, so this coupled with the MT5-MT3 sleeve, gets me a collet chuck I can use in the headstock. The other one gets used in the tailstock when precise holding is required that is beyond the scope of a drill chuck.
The MT2, well that was for the old lathe that had the smaller tailstock.
These can also be used in a drill press or a milling machine with the MT arbour, just make sure that there is a way to use the drawbolt feature.
Walter
I am getting the ER40 Collet Chuck that Jeff Beck at tools4cheap has coming in and will mount it to or make it into a D1-4 mount for the headstock of the lathe.
The 5C collets are used in the square and Hex collet holders for quick and cheap indexing. Also I plan on getting the collet closer for my lathe at some point so they can be used in the lathe as well. The main advangtage of 5C collets in the lathe is that they use almost none of the workspace of the lathe, as they tuck nicely into the spindle and they can take advantage of the through hole capability of the lathe spindle, whereas the ER40 system, is either mounted like a chuck on the D1-4 or threaded nosepiece and in that way can be through hole, but reduces the overall length of the lathes work envelope, or mounts with MT tapered adapters and then there is no through hole capacity, adn they protude from the end of the spindle angain reducing the work envelope.