@SarahGen-- I have a sixteen gallon Shop-Vac and I'm satisfied with its performance. I had my walls done last month and I don't think I could have cleaned up all the dust if I didn't have a wet vacuum. I basically wet the floors and walls and vacuumed it all up before we started breathing in the dust. If a sixteen gallon is too big for you, there are fourteen gallon and ten gallon versions too.
I don't think the brand that you get matters as much as the product features. You want to make sure that the vacuum is strong enough to clean spills. The more powerful the engine is, the better it will perform. I think a minimum six horsepower motor is a must. It's also a good idea to find out about how loud the vacuum is, as well as the different hose ends that come with it.