I know there are several options in regards to code coverage. I am looking for something that could be used on developers machines as well as generate a code coverage report during a build process (CI). We are currently running TFS.
Does VS2015 code coverage tool work with NUnit tests? https://msdn.microsoft.com/en-us/library/dd537628.aspx
Can something from Microsoft be used for the purposes specified above? Or would I have to invest in dotCover or NCover?
You can run code coverage on NUnit tests using the "NUnit Test Adapter" (which is a free download) through VS and TFS. In fact you can run it using any test framework that has an extension adapter.
Here is some info on getting it right in TFS build:
http://www.codewrecks.com/blog/index.php/2015/03/16/running-nunit-tests-in-a-tfs-2015-build-vnext/