I go with the Sizzix alphabet sets. They come with small sizzlits sets of either 35 or 9 dies. There's a large variety of the 35-die sets, which would have one letter on each die, plus numbers and punctuation. The 9-die sets have several letters on each die, so the letters are smaller.
You can get them on ebay, but expect to pay at least $25 (and up) which would include shipping, for the 35-die sets, less for the 9-die sets. Some of them come with the "Sidekick" which is a really small manual cutting machine that works nicely with the small sizzlits dies.
The Quickuts is the ones I know best. They come in many many many different styles and are, concidering how many dies you get for it, relatively cheap. Quickuts was taken over by Lifestyle Crafts. Theie dies are thin but do take the DCWV cardstocks well. Have a browse on eBay on both names, lots will pop up.