A filter is a small part of a heating and cooling system, but it is the part that changes most often and does the most to the airflow. Judge it on the same terms you would judge any other piece of equipment.
What the rating scale tells you
Most filters carry a rating on a printed scale. In general, a higher rating means the filter captures finer particles, and a finer filter usually resists airflow more. The rating describes capture. It does not describe how well the filter will fit your system or how much air the blower can move through it.
Check the size on the frame, then the slot
Read the size printed on the filter frame and compare it to the size on the old filter and the size stamped on the return grille or air handler. A filter that is too small leaves gaps that let dirt bypass the media. A filter that is too thick may not fit the slot at all. Confirm the arrow on the frame points toward the blower.
Ask what the equipment was built to handle
The owner's manual or the installer's paperwork usually lists the filter type and size the system was designed for, and some list a maximum resistance the blower can tolerate. Ask whether a higher rated filter is approved for your unit before you buy one. A finer filter can be the right choice for a household with specific needs, but it has to be matched to the blower.
Pleated, media, or a thicker frame
Pleated filters have more surface area, which lowers resistance for a given capture level. A thicker frame can also reduce resistance if the slot accepts it. Compare the construction, not only the rating, when two filters look alike on the shelf.
Set the change schedule before you buy
A filter that loads quickly will strain the blower sooner. Check the filter at a regular interval, and note how quickly it turns gray or stiff in your home. A household with pets, a dusty garage next to the return, or heavy outdoor air will change filters more often than a quiet house with no pets.
Questions to ask a technician
Ask which filter type and size the system was designed for. Ask whether the blower has room for a finer filter without cutting airflow. Ask whether they would check the airflow after you switch. Ask how they would like the filter changed and whether the change interval should differ from the one printed on the box.
If you are weighing filter choices alongside the age of the furnace or the cooling unit, the planning figures on the Gas Furnace and Central Air Conditioner pages give the typical service life for each. Use those pages to plan replacements, and use the filter to keep the system running well until then.