I just changed our HVAC filters and was pondering filter quality. The "better" ones seem to clog faster, and cost more, which makes sense. One HVAC guy told me not to use them. The cheapie blue filters don't filter much beyond a bowling ball. I usually buy "in between" filters.
I remember after market car filters advertising greater HP, which could be true, but I'd guess they might take you from 235 hp t0 235.6 hp at full throttle. There was even a gadget that claimed to turbocharge your car, it was a simple fan thingee driven by the air coming in, so it added nothing but resistance.
I almost never check under the hood any more. The car doesn't use oil, and I change it about every 11 months. I guess their is an air filter there somewhere. It only has 23,000 miles after nearly 4 years.
I once worked in filtration, briefly, it was in some respects a complex arena. We were trying to see if a material we had would be useful as some kind of filter.