There are some things, though, that just shouldn't be vacuumed up--for your health and that of your machine.
Problem: Carpet powder is so fine it escapes bags and filters and gets into the bearings, motors, and the fans of your machine. This, in addition to damaging critical inner-workings, sends the dust into the air and your lungs. Carpet powder is also known to clog the pores in vacuum bags and filters. This means your vacuum can not breath and could overheat--possibly to the point of burning out the motor.
Solution: If you want to improve the smell of your vacuum, spray a favorite scent onto a tissue and vacuum it into the machine. (Do NOT spray anything directly onto a bag or filter, it will cause damage)
Problem: Fire risk, not to mention the utter destruction of your vacuum.
Solution: Shop-vacs are machines made specifically for this sort of cleaning, the water is deposited into a bucket and avoids all electrical contact. Otherwise, grab a mop, rag, or some other absorbent gear.
Problem: Like carpet powder, sheet rock dust can damage important pieces of your machine and is bad for your lungs.
Solution: Brooms are your best bet here. You can use a shop-vac, BUT it is important to stop every 15 minutes to shake out the filter.
Problem: Still warm embers can light a vacuum and/or bag on fire.
Solution: Just shovel out your stove or fireplace. You can vacuum up the remaining ashes afterwards (just make absolutely sure they are cold).
Problem: Some vacuums run the dirt they pick up through a fan before going into the bag (or bag-less container). Hard objects like rocks or change can shatter this fan, rendering your machine unusable.
Solution: When you see something, pick it up, by hand. Also, don't stick a hose into furniture blindly--change loves to hide in couches.