Your gas furnace has one 25x16x1″ filter on the return side where the duct connects to the furnace. Replace the filter monthly no matter what they look like. This will keep the duct/furnace and A/C evaporator coil clean. Opt for the cheaper version when choosing a furnace filter as frequent replacement is more important than the quality.
Remember to check the two outside vents for frost and ice build-up. (2″-3″pvc pipes)
Always make sure you have a working carbon monoxide detector in your home.
Please phone hydro for any gas emergencies before calling a service company.