Skizo, for me currently the size limit is the oven. It's possible to coat things without an oven using banks of IR lamps to heat and cure the powder/substrate (Eastwood sells them, no doubt others do as well), but they're $$ and strike me as a lot of work as you'd have to move the light around and monitor the temp of the part. Great if you're doing a car or motorcycle frame or the like, but for now I plan to stick with things that'll fit in an oven...
Whatever you're coating needs to be conductive, and able to withstand being baked at 350-400° F for the 20 minutes or so it takes to cure the powder. I'd say it's pretty much limited to metal parts only (meaning that I don't think a can electrolytic, for instance, would be a good candidate).
I have the Eastwood dual voltage gun; got it in their 'starter kit', p/n 11698. I also bought their Hightech Color Sampler Kit of powders - it has the chrome smoke and translucent blue colors I used as the base & top coats on the transformers, along with translucent red, green & violet, and candy orange. I haven't yet tried any of the other colors, but will likely do so on my next project.
You also need a source of compressed air; the gun uses low pressure (~10PSI or so), so even a small pancake compressor of the sort used for nail guns should be sufficient. I'm using the Makita MAC700 I got a few years back for my nailers.
Using the screw & keps nut on the bells worked out ok for grounding (which as I think I mentioned only became an issue with the second coat - the first went on with no problem at all), though I'll likely give that more thought for the next time I do something with multiple coats. The screw & nut are great as long as there's a screw hole that will be covered by hardware in use, but it may take more thought for something that will be more exposed.
I see it being used in a lot of future projects, and yes, you can do various finishes and color fades. The powder is available in a mind numbing array of colors (search powder coating powder on Evil Bay), and comes in gloss, matte, satin and textured finishes. I was thinking of trying some sort of color transition next time - perhaps a chassis that goes transparent blue through violet to red or something along those lines...