If you are new to the idea of collecting dust in your shop ( other than using a shop vac after the fact!), you need to read this website to get started:
http://billpentz.com/woodworking/Cyclone/index.cfm
Bill Pentz sells nothing, he simply wants to save your lungs from dust. There is A LOT of information on his site, it will take you some time to get through it.
Static electricity, noise control, duct sizing, volume calculators, and plans to build your own collectors fill the site.
Be forewarned, you are not going to like some of the facts on his site. Most dust collectors actually make the shop air WORSE for your lungs! Fine dust is not collected from most machines (usually just the chips), and fine dust flows freely through those "filter" bags.