That is a very open-ended question, and the open-ended answer is 'it depends...'.
For work holding the are a few commonly used methods, and your selection is always going to depend on what you are making and the type of cut you are doing.
2D profiling (or 2.5D) - You are probably going to use mill clamps
Holding your stock on top of some sacrificial stock, on your X-Y table. Ensuring that the toolpath is not going to crash into the clamps.
For Parts where you are going to have to mill top and bottom, you will probably use a milling vice (and possibly a custom work holding jig). Usually, you use precision parallels in the vice which the work rests on, so that the part to be milled protrudes above the vice.
For 4 axis work, your stock will most likely be held in a chuck or on a rotary faceplate attached to your 4th axis. The other end will be held with a tailstock (same as on a lathe) is necessary.
There are also vacuum chucks, on which you place your stock, and it is held by a vacuum created by a vacuum pump. Obviously you cannot cut right though your stock using this method, unless you have an intermediate sacrificial piece to between.
If you are milling something magnetic (unlike aluminium), there are elecromagnetic work holding devices too.
So it all depends on what you are doing.
If you show us what you want to make, we can probably offer more useful and less generic advice.