As KenV mentioned, the collet chucks are very versatile -- giving you more options if you are in it for the long haul. If I had known about these, I would not have spent over $40 for my morse taper mandrel from Lee Valley. It is a nice one, but limited to its 1/4" collet.
I bought the Beall collet chuck, which runs about $90 without collets. I did not buy the collets with it, since they cost about $20 each.
Littlemachineshop.com sells ER32 collets in all sizes for $11.95 each, and even cheaper per collet if you buy a set. They have sets of 6, 11, and 18. I bought the 6 collet set for $64.95, plus about $6 for flat rate shipping. This set has collets from 1/8" to 3/4", by 1/8" increments.