ER32, 16, and 11 collects. I don't even have a drill chuck for my VMC.
Many of the small drills I use are 1/8" shank so there is much less rigidity or run out concern than if you try to hold a tiny shank in a collet.
Also most drills 3/8: and under are OSG EX-Gold which have oversize and nominal inch or metric shanks, like 6mm shank for a 5.75mm drill, so again I can use the exact collet size and not wordy about how well the collet is holding down at the lower limit of its range.
I did end up getting some 9/64" ER16 collet for the various small taps that have .140" shanks.
As an aside, who the h__l came up with tap shank sizes? They're all over the place, and few of them are a fractional inch or metric.
Regards.
Mike