I use a converted keg as a mash tun, but I also can recirculate the mash through an electric heater while it rests, so I don't lose any heat. The advantage to using stainless kegs as vessels over a plastic cooler is that you can light a fire under the keg, making multiple step mashes much simpler.
I used to cool the wort through a counterflow chiller directly into carboys, but now I redirect the cooling wort back into the boil kettle at an angle and cool the whole volume, at the same time making a whirlpool in the bk.
But, like everybody else says, brew some all grain on a simple system and then decide over time what you want to do with all your new stuff.