Ill throw my 2¢ in here. I do mostly woodworking, and my shop is in my walkout basement, in the back where there is only 1 window, so no cross ventilation possible. So for me a dust collection system is a must. I also just added a bench grinder to my collection so I could make my own carving tools. After using it I can see Ill have to make a dust shroud for it too. I know that wood dust floats around forever, and can be as small as .5 micron in size. At .5 micron your lungs cant really get rid of it effectively, so you need a really good filter.
I use a Harbor Frieght DC 2 HP Industrial 5 Micron Dust Collector . The 5 micron bags are NOT good enough. So I added a .5 micron cartridge filter from Wynn Environmental 35A Series Cartridge Kit. Even with that hooked up to whatever machine Im using some dust is still thrown into the air. So I wear a 3M half face repirator while working too. My next investment is a shop air filtration unit like this one Jet Air Filtration System. Maybe this sounds extreme but I take my health pretty seriously. I dont smoke, so getting emphysema or lung cancer from my hobby would suck!
Im familiar with the dangers of wood dust, but Im guessing that grinder/metal dust can be just as dangerous. Just remember, its the stuff smaller than 5 microns thats really dangerous. The bigger stuff your lungs can naturally clean out. But most home filtration systems only go to 5 microns. So they are filtering the stuff thats not too bad for you. Spend the extra $$$ and get at least a 1 micron filter.
I'll second the Harbor Freight/Wynns set up. I used the same deal in my woodshop for for a long time before I got a cyclone. If you go HF, wait for a sale and use one of the many 15% off coupons that are all over the internet. I'd say you can get the HF collector for $179 or even a bit less. The people at Wynn Environmental a really nice people - can't recommend them enough.