RPIScotty, we're very similar in our brewing behavior (small batches, no interest in "going big") and I agree on 2.5 to 3 gallon kegs. Should you ever step up in size, they'll still be useful, and since you fill them with CO2, you don't need to worry about too much headspace for even smaller batches. Just don't do what I did and buy three different small kegs, as their parts may be slightly different. :-/ All three kegs have worked out great, though.
If your local CO2 source only offers exchange versus filling, then there is no point to buying a tank, so research that question first. I bought a new 5-lb CO2 tank after researching the local options. It's only a little taller than my tallest small keg. I'm a little OCD about owning "my" gear when it comes to gases so I prefer to have my own tank and have it filled (I don't exchange my propane tank, either, after hassling with a couple of bad tanks 15 years ago or so). The local stores fill by weight, and they also won't fill paintball tanks, so that wrapped up my options pretty neatly. It's on my "git list" to buy a second tank. I am thinking of a 2.5 lb tank simply to have one that's super-portable; that's the smallest size I can get filled locally, and with small batches, that's still a lot of CO2.
I also bought a regulator gauge guard and some cheap bungy cords -- the latter secure the tank and keg upright in the fridge in case the Big One hits. I then built a four-port gas manifold using parts from the LHBS. I leak-checked the manifold and it's ready to go, but I've been so busy this spring I have only had one keg going at a time.
Kegging has its own challenges, but the first time I kegged my beer I realized that was the way for me. My "git list" also has a beer gun on it, for when I want to gift beer. Otherwise, goodbye messy bottling, and hello, the fun of kegging (and it is pretty interesting).