I've gotten a few items on speculation, some that I didn't know existed, and some that I thought looked neat.  And then there were those that I found a sudden need for...

Transfer punches. 
  I've got the fractional set.  I'd like to get the number set as well, but the local HF store doesn't stock them.  These are precisely ground to the appropriate size and have a point on one end.  They fit in a drilled hole and mark the hole in the material the plate is the template for.  No more trying to guess the center of a scrawled pencil line circle.  No more trying to center a center punch, somehow.

Silver and Deming drills.
  I needed a 3/4 inch hole in a long piece of aluminum bar, and ended up buying a single drill for about 20 dollars.  I then went to the local HF store and bought a complete set for about 2 dollars more.  They're certainly good enough for aluminum, and that may be all that I need them for.  Low speed in the mill and they work fine.  It's so easy once the proper tools are there!  9/16 to 1 inch by 16ths, I think.  

Screw pitch gauge.
  They're cheap, and I've found some threads that are really odd, and I tried to match.  Helps you set up the lathe.

Parallel set.
  I've got the thin ones, but a complete set.  I use them to raise something off the floor of the vise.  The work remains parallel to the floor of the vise and (hopefully) the table.  

Cross slide vise for the drill press.
  Enables you to precisely center holes.  Since you don't mill in the drill press (could, but not needed), alignment is not as much of a problem.  

Metric tap set:
  You might want one for the lathe and all those neat metric threads on the mill, too.  They’re relatively inexpensive, and as long as you don’t exceed what they will do, you at least have a set of taps and dies.

Small cutoff saw:
 Now I didn’t know that I needed this one, but I did.  The bandsaw needs about 4 to 6 inches on the vise side to be able to cut properly.  For thin stock, about 1/2 inch or less, a small cutoff saw will work well.  It is quite amazing, and zips through 1/4 inch aluminum or brass very easily.  Even better, it can cut with only 3/8 inch in the little vise.  Good to make shaft couplers and such.  The saw wastes very little material, and is much easier than parting on the lathe.  Works moderately well, but has limitations when used on steel.



Mills, 1/2 inch shank at the most, 1/2 inch at the most.

  2 flute use for aluminum
  4 flute use for steel

Lithium grease
chip brush - buy a box when they're on sale

either:

drill press vise, probably 2-3 inches at the max depending on table size and fit.

Tilting milling vise, A swivel vise means having to realign it each time, possibly.  

Clamping kit.  The 3/8 -16 threaded kit will work just fine for the mini-mill, except that the t-nuts are the wrong size, thread is ok, but doesn't fit.  Littlemachineshop has the right ones.  You'll need 6.

Good set of drills, and also a set of center drills.  

As you can see, these fall into 1) tools and 2) things to hold stuff down.