How often should I change my furnace filter? What are the furnace filters for? And why change them? What about those super ultra filters?

What are furnace filters for? A furnace filter's job is to filter the air going through the furnace so that your furnace blower, heat exchange, and a-coils are clean and efficient. A clogged filter makes the blower motor work harder, and the furnace less efficient. Running the furnace without a filter allows dust to get into the inner workings of the furnace and air conditioner coils. That's not a good thing. A filter is really just to protect the furnace. If you need more filtration, such as for allergies, it is recommended to have a separate system just for that, such as an electronic air filter, or the larger 4" filters.

How often should I change my furnace filter?

It really depends on the type of filters your furnace uses. If you have the standard 1" thick filters, the current line of thinking is to get the cheaper ones, and replace them every month. The more expensive ones do filter out more stuff, but they start restricting airflow and that puts stress on the blower. These may be changed every 2 months.  There are so many different recommendations that its hard to sort out what's the best change interval.

If you have the 4" thick filters, those are usually recommended to be changed at least 4 times per year. I would consider changing them every 2 months.

Which filters should I buy?

I am currently purchasing the $1-$2 filters from our local big-box store. These I change every 2 months.