[killjoyken]

If you're just drilling holes, a chuck is fine as long as it's good quality. When using end mills you always use a collet. You may also want to invest in an indicator and edge finder if you're looking to do precise work. I'm hoping you already have a good set of calipers.

I've never used a micro mill, just the old school Bridgeport at work. If you've got a good eye, steady hands and fairly good at math, you should be able to pick up machining pretty quickly. #1 rule when working with a mill: don't wear gloves. latex or nitrile is fine, but cloth gloves can get caught on the bit and twist your fingers around the bit.

For tooling I buy from Rutland. (although my company picks up the bill.) McMasters has some aluminum stock if you don't have a local metal supplier.

Have fun!