"Failure to change the furnace filter on a regular (3-6 Months) basis will have a very serious and negative impact on your system. Once the filter is completely loaded, airflow to the furnace starts to decrease. This will affect not only the efficiency of the furnace, but puts excessive stress on the blower and fan control.
The insufficient airflow will also over heat and stress the heat exchanger as well, leading to premature failure. This one oversight can cut a furnace's life span in half!
One of the comments always made is that 'As a filter loads, it becomes more efficient at catching particulate', BUT in reality what occurs as air flow is reduced, is the furnace will effectively suck unwanted matter from the back side of the filter, thus re-introducing it into the house. This is like pouring your drinking water through compost pile before you drink it!" - Bob T.