I have only used Fram or STP filters, depending on availablity, personaly the STP for some applications has a sturdier frame (fram uses foam, stp sometimes uses rigid plastic) but overall, i will go fram for air filters as it is 10 bucks for mine at wal-mart, if autozone or advance has a sale on their brand or purolator, i will grab that when the time comes.
For air filters, i do it yearly, at 10 bucks it cannot hurt at all to do it that often, just like every 10k mi i drop in a 2.50 PCV valve.