I have to agree with Barry that "cheap" dust collection that is good, or even adequate, is virtually impossible. Having worked with woodworking machinery all my life, I've probably inhaled many pounds of the stuff!
A web page that you should check out is Bill Pentz's dust collector/cyclone site
http://billpentz.com/woodworking/cyclone/index.cfm
Bill became seriously ill from inhaled dust and became a virtual dust collection zealot. That doesn't mean the information on his site is not accurate, however. I've seen his site referenced on many industrial hygiene reports. Bill's site is immense and you can spend many days going through it all. Of particular note are the design and plan pages for cyclone collectors sized for both a 5hp motor (i.e., suitable for all by the largest home shop and even many small commercial shops) and a smaller one that works in conjunction with a shop vac.
There is an accompanying page that documents how to build the 5hp version from galvanized sheet steel.
If you're looking for something a little less complicated, a guy named Phil Thien has developed a trash can lid separator that is MUCH better than the plastic lid types you can get from Lee Valley and others. It is relatively easy to make and is some 95+% efficient at collecting even the finest dust (a cyclone approaches 100% efficiency once properly tuned) - it is also a lot more affordable. Phil has even started up a discussion board for people to swap ideas, etc. While originally designed as an inline collector to be used with a shop vac, there are several people that have scaled them up to work with 4" standard vacuum hose and a 1-2hp dust collector such as those from Harbor Freight or Grizzly.
See:
http://www.cgallery.com/jpthien/cy.htm
While a decent dust collector is important, it is still only half the equation for good dust collection. The best dust collector in the world really can do no good once the dust is airborne. It is paramount that as much dust as possible be captured at the site where it is generated. With a table saw, for instance, this would involve creating two dust shrouds - the first on the saw table top to completely cover the blade and vacuum away dust that would otherwise be thrown back at the saw operator as the cut is made. Google "Brett Guard" to see one example. The second is a shroud that bolts or hinges to the underside of the tabletop and covers the entire blade - this catches the dust that is carried through the table top by the saw teeth/gullets as the blade cuts through the workpiece. There are drawings of examples on Pentz's website for many common woodworking tools.
The final thing you would need to add would be a ceiling mounted air filter. These are basically a large box with inlet and outlet filters and a large blower motor moving several hundred to several thousand cfm through those filters. Both Jet, Delta and Grizzly offer several models.
If you are doing a lot a sanding with, say a handheld random orbital sander, the answer is a downdraft table - basically an air filter as mentioned in the above paragraph contained within a free standing table oriented to pull air though a perforated table top on which you do the sanding. Again, Grizzly and Delta offer several different models.
Finally, you may want to consider filtering your own air - i.e., use a good quality and tight fitting face mask.
Anyway, I've said enough for now.
Good luck with it.
Brian