Dust collection is often the last thing a beginner thinks about. We all seem to start in the garage with a table saw and nothing much else. Eventually fine wood dust covers everything. The proper dust collection system comes much later. I don't think this will ever change; even given the health problems caused by dust. This is the way things are.
I hope to at least get people thinking about proper dust collection. Here is the order I recommend new woodworkers on a budget buy their dust collection equipment.
1) Begin with a shop vac
The first piece of machinery you should by is a shop vac. You need it not only to clean the shop, but also to provide dust collection for your hand held power tools and stationary machinery. Shop vacs are technically speaking not powerful enough to provide proper dust collection on some machine, but they do make a big difference compared to no dust collection at all.
2) Air cleaner
Next up you should consider installing an air cleaner. This machine will remove dust from the air in your shop. It does not collect dust at it's origin. A air cleaner alone is no strategy for dust collection. Paired with a shop vac it can make a dramatic difference, however. The air in your shop will be noticeably cleaner.
The air cleaner will also allow you to pull all dust out of the air right before you start finishing a piece. Leave it on over night and your finish work will become a lot easier.
3) The dust collector and piping
Professional shops collect the dust where it is created. They run a big collector connected to pipes. A properly designed system will collect 99%+ of dust right at the machine. The air cleaner will get the rest. Ever wonder why professional shops are cleaner than yours? Eventually all woodshops should reach this level. If you are serious about woodworking you should be serious about your health.
Operating without dust collection is not safe in the long run. Invest in a good dust collection system.