They are more rugged than traditional vacuum cleaners. With wet/dry shop vacs you can say, drain a flooded basement or suck up sawdust, or suck leaves and twigs on your deck. You can also reverse them to blow up a raft or maybe a Thanksgiving Day parade balloon.
Lots and lots of uses...most reside in the shop/garage.
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Shop vac's are awesome. I usually call them wet/dry vac's since I don't have a shop though. Like Jason said, they're great for cleaning flooded basements. And if anything can fit through the hose, it will get sucked up... it's just a matter of persistance. It makes cleaning the basement fun, or at least as fun as cleaning a basement can be.
There is a whole thread on this forum here by Vince about the different uses for a shop vac. I only know about it because I stumbled upon it while doing research on getting a new one for my home. Maybe it's time to revive it though, it is the right season.
I wish I had seen that tread back then, we have some English made "shop vacs" at work that are both HEPA rated and very quiet, the major drawback with them is I think they run about $500 to buy