We have an air filter in the furnace itself. However, if that isn't enough for you, do consider a Honeywell HEPA unit, especially if you have had respiratory issues. Someone who is healthy isn't generally going to get sick, but as you get older, your system is a little less inclined to battle.
Before you buy, be sure that you can still get replacement filters. I have a Honeywell unit that is now useless because I can no longer buy replacement filters for it.