Comfort is reduced, operating costs rise, and the equipment wears out prematurely. Some filters not only protect the equipment, they also improve the quality of the conditioned air in the home. Better air quality means better health for the inhabitants, especially in regard to reducing respiratory ailments and allergies. Contrary to popular belief, however, most homes don't have such air improving filters. The more you want to filter out, the higher the efficiency of the filter needs to be.
Some filters require more frequent changing than others, and prices vary.
They usually cost around a dollar, and need to be changed once a month. You may now find them at home-improvement stores, or you can order them directly from the manufacturer. They can be washed and reused, but clog up easily, so maintenance is important. They require special high pressure blowers and ducts, however, which a standard residential system does not have. They require electricity to run, an added expense.