There are pros and cons to every tool holding system, most of which have been discussed here. What hasn't really been addressed is the accuracy of the tool holding system itself.
The ER system is the most widely used tool holding system in the industry for good reasons. It allows rapid tool changes while still providing maximum precision. The chucks tend to be quite compact and are available for almost any spindle configuration. In fact, the norm (not in a hobby shop, of course) is to leave a tool in a chuck and change chucks as needed. The ER system provides the best vibration damping of the available systems a hobby guy is likely to encounter, although if you can heat shrink your tools into a holder then that might top it for tools that vibrate a lot as they cut; most hobby guys don't heat shrink their tools. It also allows you to pass longer tools through the collet; this is a big deal when you have a double-ended cutter that is big and long.
The good ER chucks boast run out in the low tenths, as do collets. In comparison, to get the accuracy of a good ER collet in an equivalent R8 collet, you're looking at Hardinge R8 collets. Those things have 0.0002"TIR but only if you run it in a precision Hardinge spindle. Most R8 collets do not get anywhere close to that precision, just as most hobby milling spindles don't get close to a Hardinge spindle. Moreover, most Chinese R8 collets won't hold tight tolerances even if you run it in an accurate spindle.
The main reason to look at the accuracy of the system is that run out impacts on tool life, tool accuracy and finishes. Techniks estimates that for every 0.0001" of run out, you see a 10% reduction in tool life. This is because only one flute on an end mill is cutting the most and that flute will wear faster. You might think this is not a concern in a hobby shop but consider that if the spindle has 0.0002" TIR all by itself and the tool holding system introduces another 0.0002" TIR then you're looking at a theoretical 40% reduction in tool life. Looked at this way, it isn't such a bad idea to consider how accurate your tool holding system is. I also suspect this is why the ER system is so prevalent in industry.
I'm not saying that you shouldn't go with R8 but there is a whole lot more to this than how fast or easy it is to change tool holders. Compared to the time we spend actually working, the time it takes to change tool holders is minor. What really counts is how accurately that tool holder will hold that cutter.
Personally, I use the Tormach TTS system to hold ER-32 chucks, drill chucks and so on. It is nowhere near the top of the line tool holding systems but it is pretty damned accurate for what it is. Many guys who use this system change ER chucks instead of changing end mills in those chucks. The chucks are low cost but pretty accurate for what they are; if you use good collets and nuts with them they are quite sufficient for hobby level work. It is also very fast to use; loosen the drawbar, give it a tap and the tool drops out. You might take a look at it.
Bottom line for me: I would highly recommend the ER system instead of R8.
