In the aging cities of the Atlantic and Gulf coasts, existing housing stock is loaded with lead paint. If you work on those old homes, you'll run into the EPA's rules on lead-safe remodeling (the "RRP," or "Renovation, Repair, and Painting" regulations). For that reason—and also for your own health—you should have a vacuum that's capable of filtering out and capturing lead-paint dust.
Tools of the Trade carries in-depth advice on choosing the vacuum system that meets your needs
(see: "Buyer's Guide to HEPA Vacuums for RRP Work," by Chris Kennel), as well as a hands-on tool test of the latest models (see "Dust Collecting HEPA Vacuums" by Michael Springer).
Don't just slap a HEPA filter into a standard cheap vacuum, Kennel advises, however much you may want to: "The first thing you'll notice when shopping for HEPA vacs is how much more they cost than the wet/dry models found at most big-box stores," he points out. "You may be tempted to outfit one of those less-expensive models with an aftermarket HEPA filter—but the machine won't be EPA-compliant if it wasn't designed to be used with a HEPA filter ... General-purpose vacuums are not well-sealed and retrofit filters may not fit properly in them, which could allow lead dust to escape through gaps in the housing or come blasting out in the exhaust air."
Note that the RRP Rule doesn’t actually require using a vacuum for cleaning up the jobsite, but if you do use one with power tools for collecting dust from lead-based paint (or untested paint), it has to be a certified HEPA vac. For an overview of requirements, and recommendation for using HEPA vacs on RRP sites, see "The RRP Rule and HEPA Vacs."