Once you've got a compressor, a spray gun isn't the only thing you can use it for.

You should definitely get a blow gun. Very cheap and very useful. Nothing quite like it for blowing dust and sawdust off a sanded body. A vacuum cleaner will suck at less than one negative atmosphere, but a blower will blow air out at several atmospheres pressure (whatever you've got your regulator set to), so there's a lot more power behind it. Very good for clearing out pickup routs and post holes.

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Don't forget that most tools and sprayguns don't come with connection adapters (probably due to there being at least three common types that I know of), so it's worth getting some spares of those whilst you're ordering.