With air filters the air flow arrow should point toward the unit.
While I have never kept track statistically, I bet that more than half the time the HVAC filter air flow arrow is pointing in the wrong direction.
Twice in two days I have seen this.
The arrow is pointing away from the unit.
The air flow arrow is there for a reason.
One side of the filter is made differently from the other.
The filtration mesh is one product and there is a thin, wiry metal, or cardboard structure on the other.
The purpose of the extra structure on one side is to provide additional strength so the mesh material is not drawn into the unit over time.
As the filter clogs and becomes more resistant to air flow, the air pressure will push harder and harder 
onto it. At the same time the mesh will become weaker.
In this house a day later I found this. The larger photo has been cropped to show that on this furnace an air flow arrow was drawn onto the metal return duct above the filter slot, and still the arrow is facing the wrong direction!
One more thing to mention would be regarding the filter slot itself.
The filter slot should be covered!
Air should be drawn THROUGH the filter and NOT AROUND it.
When the slot is vertical and on the side of the return duct, as shown in the photo, the easiest way is to cover it with aluminum tape.
Sometimes the installer will fashion a piece of bent metal or a metal door to cover the slot, which could itself be further sealed with tape.
But still, it is very important that the air is filtered completely.
Which filter should you use - the really cheap one or the expensive, high-filtration one? You can read about that debate on a previous blog I posted six years ago. Click here.
My recommendation: don't discount the small stuff! Little things like air flow arrows and gaps around the filter make a big difference over time. You want your system to be clean! You want your system to last a longer time! And pay attention to how dirty they get! During months of high use the air filter should be cleaned or replaced every month! That might be 8, 9 or 10 filters a year. Maintenance is maintenance. And your system will appreciate your diligence and regularity in filter replacement.
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