CAT40 is way better than R8, but it will be more expensive as you need a lot of different tool holders instead of just some collets.
Keep in mind that before you start machining you need to have all your tools loaded into the holders so that you can measure the lengths and enter that into the control.
You can get some pretty good deal on Bison or Techniks toolholders from different eBay shops. I bought a Techniks starter kit that was on sale after one of the big tool shows (Eastec I think).
http://www.techniksusa.com/ http://www.toolmex.com/tools/THome.asp
Download the catalogs and get familiar with things.
I don't have a pullstud sitting here but I'm pretty sure it is a PS475 which is an industry standard part that I think is also used on some Fadals.
You didn't say what you are doing, but I'd suggest you look at getting several ER16 and ER32 collet chucks and extra collets in the standard sizes. I think the collets tend to run a little truer than EM holders. You'll also want to get some drill chucks (but just for drills, not milling) and you can hold a boring head with a straight shank in an EM holder.
The more tools you need to use in a job, the more holders you need to have. Buy one of the Bison CAT40 toolholder bench stands to use when changing tools or putting pull studs into the holders. They are pretty reasonably priced and worth it. Also get some of those plastic racks that hold 10 CAT40 tools - they are about $22 each. A Huot toolcart specifically for CAT40 would be really nice if you have a lot of tooling, but it isn't cheap.
cheers,
Michael