I would only buy a vac that takes bags, especially if you are using it with dust material. It saves the expensive filter.
And never ever suck up drywall dust without the proper "fine dust" bag installed. That dust is very abrasive, very fine, it goes right through the big pleated filter, into the motor bearings (which ruins them), then it into the room where you breathe it in.
If you intend to use it connected to a tool like a sander or track saw, try to get one that has a function that turns the vac on when you turn on the tool plugged into it. I have a Festool extractor for this, but it's probably not what you're looking for. Other brands have this feature now.
That being said, I recently bought a Ridgid 14 gal vac that I am very happy with. It's less noisy than the Shop Vac and has a lot more suction. I keep it connected to my miter saw and router table with an automatic vacuum switch, and a dust deputy cyclone to catch the sawdust.