An oil filter is not like an air filter. The air filter gets more and more efficient and then shows itself as less high rpm power.
An oil filter goes into bypass and there is no light to tell you. You actually have no idea whether the valves have hardened, the paper has collapsed, etc.
As Gary said, this all assumes you are changing at the right, or "comfy" point for your car, your conditions, etc. I've seen (and posted) filters that shouldn't have even gone the first 1000 miles.
99% of the time you should change both at the right time. What are the exceptions?
-- When my father-in-law was driving, he drove about 500 miles a year. I changed the oil at 6 months, but the filter stayed in for 1000 miles.
--I'm about to pull the oil pan from my car to change a leaky gasket, 600 miles on the oil. I'll leave the filter on.