I recommend going w/ a bagless / filterless ("Cyclonic") unit that vents to the outside. All of the light dust just blows out the exhaust, and there is a "can" on the bottom of the unit that collects the heavier objects. No filters to change / clean, and the can only has to be emptied every couple of months.
Like Bill, we have the motor unit in the garage and having a outlet there makes it convenient for cleaning cars and even vacuuming the garage! (we have a "utility" hose / attachments that are used in the garage) We have had Vacu-Maid units in our last two houses (build both), and between the two of them we have had over 23 years of use without a single service call!
Kurt