display custom taxonomies limited to custom post type?

To use the built-in tag functionality with a custom post type, you need to add this argument when registering your post type:

'taxonomies' => array( 'post_tag' ),

So to register a post type events, you’d do (eg):

register_post_type( 'events', array(
    'show_ui' => true,
    'taxonomies' => array( 'post_tag' )
   // etc ...
) );