You generally cannot place a True HEPA filter in your air furnace because of the flow restriction would place too heavy a load on the blower unit. But you can get a higher efficiency MERV filter that can give some of the benefits of better filtration and indoor air quality without unnecessarily straining the HVAC unit or restricting the air flow.
But to get a good balance between clean air and not damaging your HVAC unit, consult with an air conditioning professional and / or consult with the manufacturer regarding the recommended MERV filter range that can be used in your particular model. Also, the higher your MERV rating, the more often you may have to check and/or change it as it will tend to clog faster.
MERV ratings are numbers that generally measure the quality of an air filter, but can be hard to understand without some context and this chart is a handy reference.
The MERV rating is a filter standard established by ASHRAE (American Society of Heating, Refrigerating and Air-Conditioning Engineers) but when you shop for a filter online, you may also find references to MPR and FPR.
MPR (Micro-Particle Performance Rating) is a standard used by 3M (notably the Filtrete series) that rates filter performance with respect to the ability to screen out sub-micron (less than 1 um) particles, but can be confusing when comparing to MERV. Note that less than a micron is on the low end of the PM2.5 Fine particle range as designated by the EPA. (0.5 – 2.5 microns)
FPR (Filter Performance Rating) works a little like MERV numbers (but on a 4 – 10 color coded scale) developed by Home Depot for filters they sell including Honeywell.
To get a relatively close comparison, the following chart may be useful when shopping for a more suitable HVAC filter.
While this chart is useful, it is not guaranteed to completely stop all of the biological and inorganic contaminants that are listed. Your mileage may vary.