These aren't mill-specific, but they are very handy to have around if you are going to be doing much metalworking.
T-Handled Hex Keys
Get a metric and standard set. They are a whole lot easier to sort and keep track of than those little loose wrenches, and you will be using these quite a bit.
Tap and Die Set
You can skimp on a lot of stuff, but this is one thing you should go ahead and bite the bullet on. Get a good USA-made set. If you have budgetary concerns (and who doesn't), get a big SAE set first, and buy a big metric set later.
Drill Bits
Buy a good USA-made set and dedicate it specifically to metalworking. Try to find a set that goes by 64ths. Titanium nitride or cobalt sets are great, but HSS works fine too. Feel free to buy a cheap Chinese 115-piece set for general household use, so you won't be tempted to use your "good" bits for dirty jobs. Also, get a numbered set (1-60) because these are used quite a bit in gunsmithing and you'll need them sooner or later.
Files
Again, buying a good American or Swiss set is highly recommended. It's money well spent... believe me, I learned the hard way. You will also need to buy a file card to help keep them clean. Pick up some sidewalk chalk at your local dollar store... dressing your files with chalk may be messy but it helps keep them from "pilling" up too badly, and from having to card them as often.
Machine Lamp
It gets pretty dark under my mill spindle at times. A magnetic lamp that you can stick on your mill doesn't cost too much. I just use a cheap halogen desk lamp I used to have in my office. I bought a separate one for my lathe.
Storage
Now that you can get the metal mechanics' tool cabinets fairly inexpensively, I've found that they work really well for storing all the tooling I've accumulated.