The Ferrex (Aldi) one only seems to have a 3.2mm fitting. You'll need more than this if you're ever going to use it to drill anything finer OR get a jaw-chuck as per radiojoe!
Of course, I'm totally wrong in that there are 5 collets, not just 3.2 as in the next part of the ad
Other than that, what you need depends on what you're building. Plastic or wood; large or small scale; kit or scratch. You will probably need to drill down to 1mm or even 0.5 so a normal drill is , to me at least, unworkable at that size so a Mini drill or Dremel type, going down to low revs, is fine. You'll possibly need to cut brass tube and thin profiles so a Dremel type with cutting disc at 17,000 revs works for me. You'll probably need to sand something off in a hull with all the framework in place. Again, Dremel type with a sanding drum or pad works.
I spend most of my time using a Stanley knife, Swann Morton scalpel with 10A blades, junior hacksaw, straightedge and small engineers square, engineers blocks, about 100 clamps, clothespegs, spring clamps, soldering irons with decent lead solder, blowtorches large and small, decent steel ruler, fretsaw and lastly, decent lighting and specs.
Basically, I reckon you won't know whats the most important until you miss it.