Hi,
There are a number of different tool holding systems for mill spindles these days. Which one is best? I have personal experience in using all of them but the Clarkson. Because it's very difficult to find in the US.
No system is perfect, there are downsides to everything.
R8s need accurately made tool shanks. And can slip if you don't pay attention when tightening them.
ERs have a relatively large grip range. Which can allow tools to fall free if you ain't careful. Swapping collets can be a pain in the backside. It's easy to ruin a nut if you don't get that collet groove in the nut correctly. And collets are known to break after using them a while.
Morse Tapers are hard to release. And come in limited sizes.
Weldon holders don't do endmill shanks under 1/4" well or solid carbide cutters at all. And despite the hype, they allow slipping of tools as easily as R8s do if you don't really torque that single setscrew down hard. And have you ever tried to drill out a stripped out hardened socket setscrew holding a HSS endmill?
And Clarkson tooling is an ecosystem and not easy to find in many parts of the world. And it's very expensive to buy compared to the rest.
The advantages of different systems might be.
R8s are cheap and common to get. And are good enough for 99.999% of all milling operations we get into as home gamers.
ERs offer expanded gripping ranges. So one set of collets can grip drills and either metric or imperial shank endmills. And despite being designed to be used only as tool holding collets, many here have pressed them into to work holding also. Perhaps not ideal, but when egg money for new toys is tight, it works.
I see little reason to go for Morse Taper holders in a mill. But they can grip a tool shank well enough in light table top machines. They seem a bit iffy in heavier machines though.
Weldon holders excel at large shank tooling. You need to hold a 1" or bigger shank endmill? Weldons are it.
Clarskson has great tool holding and pretty good accuracy for runout. And certainly give the owner bragging rights.
You want the best? Get shrink fit tool holders. Not cheap and not easy to use at home. It's really meant for larger commercial shop use. But near perfect runout and superior tool holding under the most demanding conditions. It currently don't get better.
For most of us home guys, R8 and ER collets may well be the best fit. Cheap and easy find and buy, they are perhaps all we need. If you are fitting out a new mill at home, R8 is perhaps the default spindle these days. But ER collet adapters are readily available. And not overly expensive when purchased as cheap, cheerful Chinese tooling. While there is a QC risk, I think at the price point is worth it. And a set of ERs can be used to hold tooling and work and shared between a mill and lathe to do double duty. I have both R8 and ER in my home shop and use either depending on my mood or needs. Though I do not use ER collets for work holding, I use 5C for that.