Conducting annual preventive maintenance on your HVAC system is extremely important. Not just for the mechanical side of your system, but also to ensure that the filters are properly taken care of.
Now, firstly, there are pleated filters, and those are rated on the MERV scale. On the higher end of the Merv scale, the filters filter more outta the air. However, they put more strain in your system because they allow less air to flow through them. On the opposite side of the scale, however, the filters take less material outta the air, leaving it dirtier, but they allow more air to flow through the system, putting less strain on the system.
Now you can split the difference by getting an electrostatic air filter, which uses static electricity to grab material outta the air, while still allowing tremendous airflow through the system, letting it live longer.