The average furnace filter should be replaced or cleaned every 3 months, unless you have pets, then it should be done every 2 months. If you happen to be doing construction in your home, replacing your filter every month will save you some headaches. Electronic filters have a different set of rules, so make sure you read the manual.
When you need to call a tech to come and replace a high limit switch that will fault due to air flow restrictions from your filter being clogged, it’s going to cost a pretty penny. You can avoid this by changing the filters at regular intervals. I go by the seasons in my home and change my filter on the first day of the new season.
When choosing a furnace filter, it is best to do your homework. There are many types out there for reusable filters, or disposable filters. Some are hypoallergenic filters, and some are just standard fiber filters. I prefer the fiber filters, but there is nothing wrong with any of the higher end filters.
When considering disposable filters, the more air flow, the better. In my experience I have seen multiple furnace emergencies where I have been called out on a cold night because a furnace can’t move enough air. This isn’t due to the filter being dirty, it is just restricting the air flow so much that the burner gets too hot and trips the high limit switch.
Furnace motors, where the filters are changed often on the furnace, tend to have a greater life span. Furnaces with no filter or clogged filters have motors that work harder than they should have to. A well taken care of furnace will last you 20+ years with very little maintenance, and you will rarely find yourself in a bind at -30 to -40.