You don't need "a full set of collets." You can start with 3/16, 3/8, and 1/2, and hold virtually all the end mills you'll ever use. If the collet capacity of the machine goes up to 3/4, get 5/8 and 3/4. For any other size, wait until you need it.
You'll need a drill chuck. If you can get one with an integral shank for the machine taper that's nice; otherwise get one with a straight shank the size of your largest collet. Keyless chucks are nice, but you don't need one; a 0-1/2" Jacobs key chuck is perfectly satisfactory, and cheaper.
A hold-down set to match your table T-slots. It's well worth buying a set rather than trying to make-do with random bolts and bits of scrap.
At some point you may want a boring head. If you get one, try to get one with an integral taper shank. In my experience, holding a straight-shank boring head in a collet lacks sufficient rgidity.
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