I got a PM asking me to compare 5-C collets with the ER series. I tried to reply but I don't think my computer sent the message, so I'm just putting here. Maybe others are intrested too.
I'm no expert on this but I'll help as best I can.
First off, the 5c collets wont fit up the snout of the little 9x20 lathes. They do make front closing chucks for them but they are big long heavy things and if you hang one of those off your spindle nose you wont have much room left between it and the tail stock! The ER collets are a lot shorter and I don't think the chuck to hold them takes up much more room than a 4 jaw chuck. One thing to look out for, they made some ER collet holders that hang out farther and also don't allow a piece of stock to pass through them. Shop carefully.
The main difference between the two is that the ERs are double angle collets and are slit from both ends. This lets them close along their whole length so that they will hold 'in between' sizes. If you put something under size in a 5c it will only hold at the very tip and if it is too much under it may not spring back when you release it. You will probably hear somewhere that the ER collets wont let stock pass through the spindle like the 5c but again, that is a function of the holder, not the collets themselves.
One advantage of the 5c collets if you are in the U.S.A. is that they are ubiquitous. You can get four and six sided blocks that hold them for simple indexing on the mill, the 'spindexs' are all made for 5c. You can also get them to hold square, hex, and lord know what other shapes.
If you want to see the subject beat to death read this thread on the HSM forum.
http://bbs.homeshopmachinist.net/showthread.php?t=13544&highlight=collets
For myself I think the ER collets are the way to go for the little 9x20, but that's just me. Another idea, if you can get by for a while turning what you need from standard sizes of drill rod or cold rolled, you could just get a couple of sizes of MT3 collets to hold you over while you're saving up for the 'real' setup. I've used the collets from my mini mill for this.
Hope this helps,
Rick