You should use an air filter that offers the highest level of efficiency without damaging your HVAC system. Air filter efficiency is the measure of how well the filter does its job of filter air before it enters the air handler. An air filter "cleans" the air by serving as a physical barrier to particles hanging in the air. Manufacturers use a number of materials in air filters, such as fiberglass. Additionally, configuration of these materials can impact the filter's efficiency. For example, a pleated air filter provides greater surface area to trap particles than a flat panel filter and will thus capture more particles even if made out of an identical material. A wider filter—say, 2" instead of 1"—will similarly capture more particles.
You may be surprised to learn that simply using the most efficient filter available is generally not the right answer. This is because as filter efficiency increases, there is a corresponding increase in the level of air flow resistance. A highly efficient filter may restrict air flow to a level that will damage your HVAC system by placing additional strain on the fan motor. Most oder HVAC should use a filter having a MERV rating no higher than 11. Older systems should use a filter with a MERV rating of only 8 or lower. Some older systems are required to use a flat panel fiberglass filter that offers minimal air resistance but which regrettably provides little if any air cleaning at all. These filters carry no MERV rating at all. At the other end of the spectrum, a filter rating higher than 11 is usually overkill for most residential requirements and is generally needed only for extreme allergy environments.