We visited the development facilities at Cimatec Environmental Engineering in Toronto, Ontario where I actually managed to get into the middle of a 65 foot ducting test system to see just what life looks like when you happen to be a furnace filter. Emanuel Mouratidis showed us how they clean the air, then put in measured quantities of various test dust to see just what a given filter will trap.
In the last two photos you can see what the balancing act in designing filters is all about. You have to hit a balance between letting the air through the filter easily (to heat the house) but maybe not trapping much dust, or trapping more dust while slowing down the air flow (not heating the house as well). As you can see in the photos, the Electronic air filters are the most efficient at both letting air through and doing a good job of filtration -- but they require a lot of cleaning. Regular filters run into that balancing act between air flow and trapping dust.
Follow this link for more details on furnace filters themselves.