Brian,
The various series of collets are different shapes, sizes and types. Each will have a range of material sizes they work with. Some are for in chucks, some for in toolholders, etc. Some toolholders go in chucks and then use a collet. I think that for in lathes such as most of the people here use for gunsmith work, an (Whoops, meant 5C, thanks butch. I said R8) collet would be the most common. These would be common for use on things like a grinder and other machine tools around the shop.
Collets are real nice for working to tighter tolerances without the need to indicate parts like in a scroll chuck or 4 jaw. They're usually pretty close and , if the setup is good, they repeat well enough to do a lot of jobs accurately, and real quick. For instance, the Victor lathe I use collets in, has a handle like most others where a quick pull on the handle will open and close the collet. It's not a big deal to remove the chuck and set it up and it's super fast for changing parts.
I'd say though, that they are more in line with production work, than for serious metalworking. if you do a lot of chucking and re-chucking for short operations, by all means get them. If you do general gunsmithing for yourself as a hobby, they are a luxury that will not get a lot of use.
Whoops... forgot... ER series collets I believe are for in toolholders. These most likely would not be used in a lathe. Someone else here may correct me on that. I think these are more for toolholders in Mills and the like. An "emergency collet" is a soft material that you can machine and modify for your own purpose. I've never seen an ER Emergency collet tho. There are a lot of ER series, just fyi.