You can build your own system. It can be even more effective than the average system out there, too!
BrushJockey seems to have a nice self-built system. I'm sure he'll jump in here shortly with info, but he has posted info about it before, so you might want to search a bit.
Personally, I like the Ridgid 5HP + vacs with the HEPA filter. I know a guy who bought a foot or 2 of extra vac hose, and he siliconed one end of the hose into the inside of the intake port. Then he dropped the end of the hose into the bottom of the vac, and he filled about 1 gal of water in the bottom of the vac. This makes the dust "bubble" through the water as it enters the vac, and the water does a great job catching all the dust.
But there's many ways to do this. If you are going to try to design your own system, start out with a good sander with a vac port, and design the vac system around the tool.
And FYI, the one system I've heard great things about is the Porter Cable drywall sander. But their vac is expensive...