There are various options available for filters, ranging from $.99 to $20 each. The inexpensive filters are just as effective as long as they are replaced regularly.
People who suffer from severe allergies or have a compromised immune system may want to choose the more expensive brands as these will remove a higher level of allergens from the air. Keep in mind; the expensive filters will force the unit to work a little harder to suck the air through the denser material causing higher energy usage.