|What is a
Cyclone? - quoted from Bill's site:
Dust Collector Cyclone
A cyclone is a simple tank with no moving parts. Dirty air comes in through an inlet and spins quickly around. This spinning throws the heavier particles outward to the cyclone walls. Airflow on the cyclone walls is slowed by friction. Particles get trapped in the slower moving air then gravity pulls them down. As the air continues to spin it slows and drops downward. The cone on the bottom of the cyclone forces that slowing air to keep the particles pressed tightly to the walls. Those particles continue to slide downward and eventually out into a dust chute. The dust chute is sealed tightly to the bottom of the cyclone with no air leaks to stir up the collected dust. At a certain place called a neutral point, the spinning clean air reverses direction and comes up through the centre of the cyclone then exits through the cyclone outlet.
As for why you would want one, here just a few reasons:
The diagram on the right shows how it works.
Dustvent in the USA have a video showing a see through test Cyclone in action.