Best thing is to have one integrated with your furnace/air conditioning. Many new houses have systems that circulate all the air in the house every few hours. That's by far the best way to do it.
However, for air filtering systems, it depends on what you need it for. You can buy filter things at places like Sears. THey usually have a Pre Filter and a Hepa Filter. They have fans that drive them and pump air through at a good clip. However they can be noisy and they suck a lot of electricity. Also you have to buy replacement filters all the time which are expensive.
You can also use something like a Ionic Breeze type thing. They don't pump air through and are more of a passive filtering system. But they do catch the small stuff like pollen and such.
Personally, I have both. We have 3 cats and a dog. We use 2 systems from Sears but without the Hepa Filters in there because they just clog up super fast anyway and are freaking expensive. So we use two of those with just the Pre Filter. We just use them to catch the cat/dog fur because we have a lot of it. We also have an Ionic Breeze that we use in the bedroom to get the rest of the crap out of the air. It needs to be cleaned every week and a half or so and it's obvious that it's catching lots of crap from the air.
But, the BEST thing to do is go get some, try them out, then take them back and try some others until you find what you like. Not sure if you can return the type with replaceable filers if they are used though... hmm