The problem you’ve got here are multiple competing requirements; for smaller (hand held) machinery a shop vac is the right choice - they have small dust ports and need LVHP (low volume, high pressure). Trying to hook a HVLP (high volume low pressure) extractor system to a small port will kill the air flow.
For machinery with larger (4" and 6") ports, a HVLP system is required.
Most cheap HVLP extractors are reasonable chip collectors, but the filter bags will initially allow the most dangerous small dust particles to pass through… up until the point when they get clogged and pretty much nothing gets through (but neither does any clean air - so you just lose the suction).
Ideal (ideal, as in, not cheap) would be something like a good shop vac with a HEPA filter and a purpose designed (e.g. Oneida Dust Deputy) cyclone - that will work well for smaller tools.
For machinery, a 3hp+ impellor based HVLP extractor with a large cyclone (e.g. ClearVue) and either a HEPA filter stack, or eject the separated air outside (with a good cyclone there will be no visible dust from the exhaust).
Probably the cheapest (safe) option is to use a Trend Airshield powered respirator mask (other brands are available), and try to do most cutting outside. You could also use a cheap dust extractor to pick up chips from bigger machines, and run an air filter inside the workshop to try to make the air safer (working in a respirator mask and leaving the filter running for a few hours after you’ve finished).
One final problem is that unfortunately a lot of tools aren’t well designed with regard to dust extraction; pretty much anything I do with my old table saw results in dust everywhere - so I wheel it outside for cutting jobs.
