An end mill holder fits directly in the mill spindle and the end mill then fits in the the holder and is held by a screw through the side of the holder. Hence the name end mill holder.
A collet holder fits directly in the mill, a collet fits in the holder and an end mill fits in the collet, which is specifically designed for that holder (for example an ER collet holder). The collet, which has an external taper, grips the end mill by being compressed by a retaining nut. the collet also has a series of radial slits that allow it to be compressed as it is pushed into the taper of the holder by the retaining nut.
An R8 or MT3 collet, which both have tapers, but different, fit directly into the mill spindle and also have a series of radial slits that allow it to be compressed and grip the end mill when the collet is drawn into the spindle taper by the draw bar.
There you go, clear as mud.
Try googling the following and then read, read, read.
"end mill holder"
"ER collet holder"
"R8 collet"
"MT3 collet"
Phil (chair)
Originally Posted by ZipSnipe