For trouble-free operation your furnace depends on a clean filter. Its primary job is to protect the blower fan from dust and other gunk that's pulled in by the return ducts. Look at the filter in your furnace and buy new ones that match. You may have a furnace air filter that is disposable or it may be a permanent filter that you can clean. The manufacturer will tell you how. Sometimes you can replace a disposable furnace filter with a permanent filter.
Filter types vary in design. Because of its ability to trap dust, fibreglass is a common material used in furnace filters. Electrostatically-charged air filters are good at trapping small particles. People with allergies need a filter that traps bacteria, dust mites, pollen and mold. Choose a furnace filter replacement that's designed for your existing furnace. That's the most important place to start.