One of the most important bits you can use, is a very, very small round bit, for engraving mostly. I use it to clean cast heads and other uses. You can even sculpt with it somewhat. It cleans those casting boogers from noses, and ears. Makes cleaning a lot easier. And a moderate squared off bit, so you can do some angles in things. I sculpt with my Dremel, so I use it in many ways. When I sculpted the legs on the Alien Resurrection figure for Facebox, I used Dremel bits and sanding a lot.
You might look for a boxed set, with lots of sizes in it. You'll figure out what to use when you do it I am sure.