The main question is for you to answer is, what do you envision doing with this mill?
+1
Bob makes a great point. IMO, it makes sense to buy tooling as your needs develop, as there are many cool looking items you may never need. That said, here's my list of must have tooling to get started.
ER-40 collet set. As Mac said, the R-8 collet is still used by many experienced machinists. Even so, it is the weakest of all Bridgeport compatible collets. The strongest is the TG-100 system, and the reasons for its tremendous grip are the tiny range of collapse (only .015") and the very shallow 8° taper. The only drawback is that it takes 59 collets to cover the full range from 3/32" to 1" ... even the low priced imported set run $1200, and nice sets are nearly $2000. The ER-40 is a good compromise, as it takes only 23 collets to cover 1/8" to 1". The reason for fewer collets is that each has a greater range of collapse, so they don't have the killer grip of the TG, but they do have (about) twice the grip of R-8. About $400 including case & chuck that fits an R-8 spindle.
ER-32 is another good choice, but the max shank size is 3/4". ER-40 allows gripping 1". I often run 1" diameter solid carbide end mills (there's one mounted on the mill as we speak), and I'd hate to be limited to 3/4". All ER collets can be used to hold twist drills (either on the shank or on the flutes), taps, and end mills.
Kurt vise. There are half a dozen mill vises on my bench, each for some specific purpose, but the Kurt AngLock D Series is the one that owns the mill table. Mine is a D675 (really cheap on eBay), but the D688 is the same size and opens over an inch wider. Not cheap, but a lifetime investment.
End mills. Most people start with HSS, move to Cobalt M42, and move again to solid carbide. If you pick & choose on eBay, you can buy a nice assortment of Cobalt & carbide end mills, either new or resharp, at decent prices.
Face mill. One usually does the trick. Mine uses the "unused" corners from the lathe tools & boring bars, so the inserts are free:thumbsup:
Dorian Tool designed this cutter, and sells it for about $200, but the Eastern Europeans make a nice copy for $99:
http://stegmantoolcompany.thomasnet...t-with-r8-and-weldon-shank/6-976-120?&seo=110
If you prefer another style insert, many are available. For either Bridgeport or mill/drill, 2" or 2.5" is as large as the machine can power (I just know that someone will post about their 8" milling head:eek:).
Indicol holder + Interapid indicator. The Indicol clamps onto the spindle & allows the dial test indicator to swing in a full circle.
It's the most used method to center a hole or a part under the spindle. The machine has to be in neutral (Bpt) or have belt tension released (M/D) so the spindle will swing. It's also used to tram in the mill vise, and used to tram in a long part when that part is directly clamped to the table.
Starrett edge finder. I like the 827B (about $20):
Some people prefer the 827A:
Wiggler set, Starrett S828. About $30 retail, but I've bought two new ones for $12 each on eBay:
Adjustable parallels. Often used with 1-2-3 blocks to set a part up in the mill vise. Usually some nice sets on eBay:
Drill chuck, keyed or keyless, with R-8 shank. Once you use a nice Keyless, like Albrecht (or the Jacobs copy) you won't go back to a keyed chuck. But keyed chucks are less costly, bulletproof, and just slightly less convenient.
Boring head, 3". A good sized, general purpose head. Holds a 3/4" shank bar, and you'll want at least one short, one medium, & one long bar. Mesa Tool sells a nice quality imported bar for $25, and it works well:
http://cgi.ebay.com/3-4-Boring-Bar-...ryZ58251QQssPageNameZWDVWQQrdZ1QQcmdZViewItem
Parallel set, 1/8" thick. The imports seem as good as any, and cost little. Used every time something small or short is fixed in the mill vise.
Rotary table, 9". Anything larger takes up too much real estate on a M/D, although 12" isn't bad on a Bridgeport.
That's the short list, and you'll add many items as time passes. You'll need most of those items every time you run the mill.