The service technician for the company that installed and services our high efficiency furnace in the house tells me not to use the high filtration filters. I had the 3M filtrete highest rated installed and he said they do not allow the system to breathe adequately. I have allergies and was trying to help with that issue, but he said it stresses the system, especially when they get a good bit of dust blocking airflow, or one forgets to change often enough.
I think finding the "sweet spot" is a balancing act. I agree with Bill that 3 normal pleated filters is a pretty good way to go. I now use a more open electrostatic air filter which is supposed to capture way more particles. I've not come to a firm conclusion that they are better than the others yet, but they are washable and reuseable and supposed to be a money saver as they are a permanent replacement.
I got an electrostatic pre-filter for my Delta overhead aircleaner for the shop, and it allows more dust to go inside the 3 pocket inner filter than a pleated filter, which is good in one way, but it does mean replacing the 3 pocket inner filter more often, so I suppose there are trade offs. My biggest priority is cleaning the air, and protecting my lungs/sinuses, but sometimes my frugal side wants to use filters far too long.