I've seen heat only furnaces without filters. But with AC, the filter becomes essential.
I had a house that apparently had had the furnace run for years with no filter at all. We added A/C and at the same time a Honeywell electrostatic air filter. It did seem to catch a lot of mung, but it took a professional duct cleaning to really get the place clean - some of the gunk was sticking to the sides of the ducts.
As to the "electrostatic" filters that aren't powered but just replace the typical pleated paper filters - I have no opinion, but am skeptical.
With the Honeywell, it was nice to be able to run the elements through the dishwasher rather than having to run to the store. I have to admit to running the pre-filters through the dishwasher as well despite the instructions stating that they should be replaced when dirty.
nate