Shop vacs are going to be the cheapest, and the least efficient as well. Dust collection systems are available from Sears, Grizzly, etc., etc., etc. There are also air filtration units, ranging from small and cheap to large and expensive.
My machines are ground floor, dust collection with pipe to each machine, gated, is in the basement, and there is an air filter above my workbench.
Most saws have ports for attaching some sort of dust collection device, in which case the vac, if you're only using one machine, would be fine.
I find that ear muffs give me headaches, so I use the ear plugs available at drug stores everywhere. Read the labels, as there is a range from the mid 20s to the 30s of DB attenuation, but that won't matter if you don't use them ... always ... every time.
One addition to what
JWB9999999 said is newer Shop vacs, Sears specially, use filter bags along with filter cartridges; makes clean-up much easier.