The main purpose of your furnace filter is to ensure that none of the additional materials your fans pull back into the unit - such as hair and dust - actually damage the furnace or its parts. In the process, it also improves air quality in your home. Some annual inspections will include changing and cleaning this part of the unit. That said, you can also clean or change your furnace filteryourself. Costs for new filters range based on brand, but tend to be around $30.