Your filters MERV Rating is a good way to help judge the effectiveness of the filter. MERV means Minimum Efficiency Reporting Value which was developed by the American Society of Heating, Refrigeration and Air Conditioner Engineers - ASHRAE. MERV values vary from 1 to 16. The higher the MERV value is the value the more efficient the filter will be in trapping airborne particles. Another consideration is air flow through the your HVAC system. Leaving a dirty air filter in place or using a filter that is too restrictive may result in low air flow and possibly cause the system to malfunction.
ASHRAE recommends MERV 6 or higher US Department of Energy recommends MERV 13 LEED recommends MERV 8 at a minimum.