Furnace filters main job is to protect the blower fan and the heat exchanger from dust, hair particles and other debris that can be picked up by the furnace returns. Having a clean filter will help improve air quality in your home and lower heating costs.
A dirty filter will make the furnace work harder and burn more fuel.
If you have small children and pets you may be changing your filters often i.e. within three months (1” filters). Every house is different, bigger filters may allow you to get more time out of your filter.
Below are examples of what I’ve found when inspecting homes.

Photos below are from a house I inspected twice, once in 2016 and recently in 2019 with a brand-new furnace installed. Appears mice are still a problem.
Have you checked your furnace filter lately? Most common types see below.

Tip: Your heating system should be tuned up yearly. Doing so might prevent an unwanted failure on a cold winter night.