The purpose of a furnace filter is to clean the air that comes in through the cold air returns. The dirt and debris need to be removed before it enters the furnace so the internal components don't get damaged. A furnace filter also removes pollution such as dust, pollen, pet dander, mold spores and bacteria, making the air in your home healthier. The cheaper the filter, the less thoroughly it cleans the air. The more expensive models filter the air better.
Furnace filters are available in many different sizes such as "16X20X1". The numbers are the width, the length, and the thickness, measured in inches. The numbers are printed on the sides of the filters, so it's easy to choose the proper size. Consult the documentation or the owner's manual that came with your furnace to determine the size of filters it requires. The right-size filter will slide into the filter slot with little effort. It will fit snugly, and not be loose.
Furnace filters are available in thickness that range from to 1 inch to more than 4 inches. Naturally, the denser the filter, the more material the air has to pass through before it reaches the inside of the furnace. This means a thicker filter cleans the air better. Another advantage of a thicker filter is that it doesn't need to be replaced as often. Some 4-inch furnace filters can last up to a year.
While a 4-inch-thick filter is more efficient than a 1-inch filter, the right size depends on your furnace. If you measure the filter slot, and it's large enough to accommodate the thicker filter, then you can use it. However, if the slot is less than 4 inches wide, you're stuck with using that thickness. What you can't do is stack filters -- use only one. Refer to the documentation or the owner's manual, or contact the manufacturer of the furnace if you need specific information.