I have allergies, but I still buy the cheapies. I spray them with cooking spray before installing them, and this seems to help them do a better job of collecting dust.
Edited to add: I was due for another multi-pack of filters, and the store happened to have a washable, reusable filter in my size, so I bought that. $20 for that, which should last almost forever, versus $1-2 per cheap fiberglass filter (I was using 6-8 of those per year).