I use a Beall Collet chuck:
http://www.bealltool.com/products/turning/colletchuck.php
it uses ER32 collets, and comes with a decent selection of collets to start with. You can also find non-standard-sized ER32 collets, like 13/16" if your material tends to be rather oversized. ER40 collets are physically bigger than ER32 collets, which is why they can be found in larger sizes. The collets, ranging from 1/16" to the maximum size, can be found at Enco, McMaster-Carr, MSC, and a handful of other places.
I have mine mounted on my metal lathe using the spindle threads. This allows me to pass material up to 3/4" through my spindle bore. When I've saved the cash, I'm going to get a Beall chuck for my wood lathe as well.
There's a large number of different collet types. An acquaintance of mine swears by 5C collets - which provide a couple of advantages specific to metal lathes. 5C collet chucks, however, are pretty expensive - but once you have one, you can get all kinds of special use collets - including expanding collets. I don't think I've seen ER-series expanding collets.