This is a great common question we always get out on the field. If you have an air furnace that supplies both your heat and cool air, rule of thumb is you should replace your air filter every 2-3 months. Now, if you have pets, you should check it every month. I normally advise my customers to check them within that period of time and then they will learn their own timetable. I always recommend "pleated" type air filters.
This is the best maintenance you can do for your system. Clean air filters contribute to excellent air flow, system runs less in return a big savings on your energy bill, and keeps your coil clean avoiding a service call and the high cost of cleaning it. For even more efficient results, I recommend to sign up for maintenance plans and have the system checked out twice annually.
