I had the same question a while back when I got a mill. I decided to go with straight shank as I don't expect accuracy from a drill. TIR is still under half a thou holding a ground rod in the drill chuck. I figure the drill bit is likely less accurate than that anyway and it means I can hold it in R8 or ER40 collets, whatever I'm working with at the time. I usually leave the ER40 chuck in there as I have more collets for that style, but it's nice not to have to switch just to drill.
I've never had one spin, but I'm careful about tightening the collet properly.