You'd be remiss to not have filtration. The dangerous stuff is the smaller particles, as trapped by dust bags and motor filters*. Sucking up shavings and dealing with fine dust are really different tasks, but...
... We have a range of vacuums, including two Henries, which have HEPA filters. They're simple in construction, strong and with a lot of suck, and surprised me by not being expensive (from our local specialist vacuum shop, not even an online discounter!). Parts and spares are easy to find, too. One of them with a cyclone (as Wuffles said) should get everything, and your vac bag+filter will last ages.
I'd recommend the Lidl Parkside ones (whenever they come up as a deal) -- the ones with the power take-off that auto-switches the vacuum. They come with a short length of narrow hose, which fits my Makita sanders**, and I found to my delight this week that mine works with my router table, even with the NVR switch in-line. Powerful and the hose nozzle fits my Makita plunge saw directly without an adaptor..
Also look at these from Axminster:
http://www.axminster.co.uk/numatic/. Numatic make the "Henry," and there are many common parts, which keeps cost of ownership down. Not the cheapest from Axminster but really well made and strong.
Cheap but good: Lidl's Parkside ones
British made and bomb proof: anything from Numatic (incl. Axminster ones and Henries).
Add a Chinese cyclone for about 70 quid all in, allowing for some adaptors. (your mileage, etc).
E.
*They usually actually don't trap the smallest stuff - you need a HEPA filter for that.
** I use a 2" length of 22mm foam pipe insulation as an adaptor, with a cable tie to stop it splitting. The narrow hose has a LH spiral and screws into one end of the insulation, which is the n just pushed onto the sander spigot.. Been working well like that for a year or so.