The effect of furnace filters on reducing allergy symptoms has been debated, but it's pretty safe to assume that getting rid of some airborne particles from the home will make a positive difference in an allergy sufferer's life.
Aside from the usual aspects buyers have to consider when choosing to buy furnace filters, allergy sufferers, or those with other respiratory problems, must look at performance and prioritize it well above price.
Be prepared to spend a lot of cash
If you're looking for a high-performance furnace filter that will make a noticeable difference, it's really going to cost you. Some units are upward of several hundred dollars - and that's not even counting replacement filters. Obviously, some of those filters, including electronic and gas-phase furnace filters, can provide better protection in certain situations.
If you aren't in need of a quick solution, trying out well-rated and cheaper mechanical furnace filters, like some models from 3M, might be a wise idea. If you can solve your problem for $10 instead of $100 (or more), you'll feel better and have more money to spend on other allergen-reducing solutions, such as a vacuum.
Look for the right coverage
If your allergies are to dust mites or mold, make sure the furnace filter you purchase can handle those particles. Some furnace filters won't trap particles below a certain size or have low efficiency ratings even for the ones they do trap. If you have chemical sensitivities, you'll need a specific filter, such as gas phase, to really get at the molecules that make you ill.
Find out the specifics
The AllergyBuyersClub.com say they've independently tested the products they recommend and have found them to perform best for allergy sufferers, although they stress their belief that no product is perfect. A category winner is chosen for each product grouping, including furnace filters. The products sold on this and other allergy-sufferer product websites are often much more expensive than products found in stores and can be from less recognizable names.
If you don't trust the information coming from a source that sells the products they recommend, look to user reviews on sites such as Amazon or Epinions, or talk to other allergy sufferers you know. Not all filters will help everyone, but if you can find a consensus toward a certain product, there will be less risk you'll end up unsatisfied.