Ken, a cyclone device such as that allows all the heavier chips, etc. to drop into it so you're not clogging up the vac itself nearly as often, and allows greater efficiency.
Think of it in terms of the vac providing the suction for the process, but not the end-reservoir for the stuff you vacuum.
I've never really looked into them for my own use, because I don't want to have to drag something else around the shop.
They're popular, though, and almost all dust collection systems now use cyclone designs for greater efficiency.
::::::: “Yum. I'd love to gnaw on those with my ears." :::::::