As for brands, the best collets are probably made by Rego-Fix, followed by ETM, Techniks, Lyndex and others. For tool holding on the mill, I highly recommend you spend the money for a good set of ER collets because accuracy here matters. I use ETM ER-40 collets and Techniks ER-32 collets.

Collets are used to hold a tool in a central position as it rotates. As the tool is inserted into the collet, the device expands and provides uniform pressure that holds the tool in place. However, if the collet stretches too far, it cannot secure the instrument properly and may lose shape.

As the collet is pushed into the pocket by the collet nut, the slots in the collet allow the I.D. bore to collapse and apply clamping pressure to the cutting tool shank. The result is a very strong and rigid clamping force on the cutting tool.