What to buy, depends on what sort and size of work you spend most of your time doing.
For me, a 12" caliper is cumbersome, too bulky and just won't fit in to measure many jobs, I find an 8" digital (metric / imperial switchable) caliper does 90% of my general day to day measuring / checking.
Note that general calipers have four measuring methods -
1. The external jaws
2. The internal jaws
3. The top of the head and the slide at the back.
4. The "depth gauge" at the bottom of the slide.
http://www.mitutoyo.com/TerminalMerchandisingGroup.aspx?group=1384Allen keys are more useful on CNC lathes, than on mills. Lathes tend to need Allen keys for changing tool blocks, chucks, etc..
I have a set of metric and a set of imperial, because we have Japanese / European machines and American / British machines.
http://catalogue.tengtools.com/webspeed/katalog/kat_produkt.p?bid=T20&kat_bid=T20&dokid=7304&katnr=1&katsektnr=116Mills tend to need Allen keys for maintenance, but not generally for setups.
The exception being large Allen keys for cap-screws in clamps and vices.
Sockets? I have a carbon fibre ratchet for each mill, and the few sockets specific to that machine, and a 16mm hex key socket for the clamping cap-screws.
The reasons I opted for the carbon fibre ratchet are,
1. Lighter weight.
2. More comfortable grip.
3. If placed / dropped onto the table or job, it doesn't damage.
http://catalogue.tengtools.com/webspeed/katalog/kat_produkt.p?bid=T20&kat_bid=T20&dokid=5103071&katnr=1&katsektnr=63You can get good quality without paying for a good brand-name, but don't waste your money on cheap .....
I have one of these levels, for quickly setting jobs up at an angle.
http://www.ebay.com/itm/Digital-Protractor-Angle-Finder-Inclinometer-V-Groove-Level-Meter-Measurer-4x90-/330634986923?pt=LH_DefaultDomain_0&hash=item4cfb6185abA magnetic DTI base.
http://www.ebay.com/itm/SHARS-Universal-Hydraulic-Magnetic-base-Dial-Test-Indicator-Holder-/350500954390?pt=LH_DefaultDomain_0&hash=item519b7c2116And a DTI of either inch or MM and of a precision to suit your type of work. 0.001" or 0.0005" or 0.0001" divisions, etc.
http://www.ebay.com/itm/COMPAC-SWISS-MADE-DIAL-TEST-INDICATOR-/270871202137?pt=LH_DefaultDomain_0&hash=item3f112e8959If you do alot of setting up on holes or pins, then perhaps a coaxial indicator.
http://www.blakemanufacturing.com/pages/aboutus.htmlSomething very useful for setting XYZ datums.
http://www.haimer.de/english/taster-universal.phpAnd for setting tool lengths
http://www.ebay.com/itm/Milling-machine-setup-gage-tool-offset-height-setter-/250948268511?pt=LH_DefaultDomain_0&hash=item3a6daeb1dfAnother useful tool, a packet of cigarette tissues (zigzag), they are 0.001" thick and are great for getting a "touch".