If you are starting out, going seperates with a head holding gyro will be a big advantage. The CSM HLG200 works great. Some people report difficulties with the gain setting when you run 3 cell LiPos. If you are going to run 2 cell LiPos, Then the CSM HLG200 is about the best choice.
If you are going to run 3 cell LiPos, then the Futaba gy240 HH gyro may be a better choice. It is heavier by far than the CSM, but when you run 3 cells, that is not a problem. If you DO go 3 cells, a high frequency ESC for the tail is a good choice to prolong the life of the stock tail motor. I use a schulze slim 105he.

If you are going to stay fairly stock (no extra weight link onboard cameras or scale fighter bodies) then the CSM and 2 cell LiPos are a good choice.
If you looking at more lifting capacity (and have more cash), 3 cell LiPo, Futaba gy240 gyro and a high frequency tail ESC are the right choice.

For anyone starting our with Micro heli's, this page is a must read. Radds

For any Piccolo owners, Paul's site is a must read. The Ikarus board is also an awesome source of information.