Our furnace repairman told me not to buy the allergy filters because they restrict the air flow too much, and strain the motor.
Our vacuum also has a filter that is supposed to be replaced. The newer models have filters that can be washed, and this is a feature I will look for when I replace what I have now. In the meantime, the filter life can be lengthened by blowing air through the filter in the opposite direction. Use a shop vac, and set it on exhaust. Use the narrow tube attachment and blow air from the inside to the outside. This will expel some of the dirt in the filter, allowing it to be used a while longer.
Both types of filters will need to be replaced eventually, but this will let you use it twice as long, saving a little money, and reducing the amount of trash you generate.