I have the same big Harbor Freight one linked above. Works great! Keep it right in the garage with the discharge of the shop vac outside. No dust at all!
+1 on the use of a shop vac. No dust at all!
+1 on the sand / silicosis. Although, you USED to be able to buy "silica sand" at home depot, etc. but not anymore... However, as long as you wear even a cheap respirator, you're OK. Coal slag too. Black lung, anyone?
I also have an outdoor, total-loss system (also from Harbor Freight) for big items. Got their cheapie hood, too. Works great, and has done for years and years...

I've blasted using all kinds of media on all kinds of items - sand, black beauty, glass beads, walnut shells, soda on steel frames, rusty iron, aluminum engine cases, ignition and lighting coil windings, carb bodies, plastic fenders & side covers. Pluses and minuses to each media for any particular item.
+1 on compressor VOLUME. Pressure or gallon capacity of the tank is unimportant. Nearly any compressor will provide 80 ~ 100 psi, which is all you need. It's the volume of air at that pressure that's important. 10 ~ 15 CFM @ 100 psi is the most you'd need. Sometimes much less if you're blasting at lower pressures (say, for gentle items). My own compressor doesn't provide that much, but I just pause for a few minutes and let the compressor pump back up. 1 minute of blasting, 1 minute of wait, repeat indefinitely...

Here's a link to another thread over on the HondaTwins forum discussing the various ways and means...
http://www.hondatwins.net/forum/viewtopic.php?f=19&t=618