Cheap fiberglass filters do very little to improve the air quality in the home. The layer of fiberglass is not nearly thick enough to capture anything but large particles of dust. Many of the most harmful microorganisms are virtually invisible, and require a much more efficient filter in order to be collected. Upgrading the furnace filter to one with a MERV rating above 8 or 9 could drastically improve indoor air quality, but there is one problem. These filters still need to be changed every 2-3 months and the extra cost of the upgrade is simply not practical for many homeowners.
When a furnace is capable of 2-stage heating, it has both a high and low setting. On days that are mild but still require heat, the furnace will operate at the lower setting. The system will still be able to meet the temperature requirements for the home, but it will do so by burning less gas than your typical one-stage furnace. The furnace will only use the high setting when the temperature outside drops low enough to require the higher output.