Collets generally have less runout than holders and a set is less expensive than a set of good concentric end mill holders. With a collet holder (the type with a nut) it can be easier and quicker to change tooling also. End mill holders are definately more robust as the the mill is held outside of the spindle in a substantial amount of metal with a set screw, but, like I said, a set can be quite expensive, and cheap ones are sloppy and tend to get worse as they are used. Ive heard of tooling being pulled out of a collet before, but it has never happened to me, yet.
Halfnutz
(Note: The opinions expressed in this post are my own and are not necessarily those of CNCzone and its management)