If you're thinking that you only have to change your filter once a year, you may well be shortening the life of your furnace. Actually, you should check your filter monthly and often change it monthly, depending on the type of filter you use. To determine if it's too dirty, remove the filter and hold it up to the light. If you can no longer clearly see light, change the filter (see photo).
Many costly repairs can be avoided with regular filter changing. If you don't change the filter, lack of airflow through the furnace will cause it to overheat and shut down. Similarly, a dirty filter can cause an air conditioner to shut down because the coils freeze up when airflow is inadequate. Both events stress the system.
Filters are designed to protect the blower motor from dirt. When buying filters for this task, an inexpensive glass fiber filter will do the job. But if you want to reduce airborne dust in your home, you could start with the best of the inexpensive 1-in. disposable filters—the standard pleated filter—which costs a bit more. Better yet, to remove even more small particles, install an inexpensive, electrostatically charged fiber filter. 3M Filtrete is one common brand.. Just make sure to check the filter monthly and change it when it's dirty (not just every three months as recommended).
All other options, from a 4-in. thick mechanical air filter to an electronic filter plate system, involve electrical or ductwork changes by heating/cooling contractors. They remove more particles, last longer and cost more.
Finally, whatever filter you use, make sure you reinstall it correctly, with the arrow on the filter edge pointing toward the blower motor. Putting it in backward decreases the filter's efficiency.