I agree that the Noga holders are quite good, and Enco has the best price on them anywhere, especially during their 15% and 20% off sales.
There are several Noga models, but a good one to start with is the MG10533.
http://www.use-enco.com/CGI/INSRIT?PMAKA=326-1364
Medium sized, with 3/8" clamp and dovetail, and fine adjustment on the base.
I really like the fine adjustment on the base, as I think it is much more precise and easier to use than their other models that have it at the top.
The Noga holder will normally attach to your dial indicator by clamping on its 3/8" stem, or to a test indicator via the dovetail.
If you want to connect to the lug at the back of your dial indicator, you will need an adaptor. I used the combination of the Starrett PT00764 (1/4" to 3/8" split bushing) and Starrett 657Y (1/4" indicator attachment). You can get those at Amazon.