1) Well, there are different types of "fancy filters." I agree that the fancy electrostatic (i.e. ppwered by AC current with grids to attract the dust) are not worth the money and are ineffective against certain types of dust. But, you probably want a good quality high-efficiency filter. There are two ways to go:
-- Have the guy install a standard furnace with the standard space in the cabinet for a 1" thick filter, then buy a high quality one and replace it every 3 months (at the longest). Price these at Home Depot--they are typically $8 each.
-- Have the guy install a cabinet or filter holder for a "media" filter. These have very deep folds and are overall about 4" deep. They cost about $25 and you replace them once per year.
I prefer the thicker, "change once-per-year" filters because it s slightly less expensive, less hassle, and the larger filter surface area leads to better furnace airflow overall--which saves money and improves furnace efficiency.
2) Depending on the cost of natural gas (and what you think it will eventually climb to, and how long you'll be in the house) a high-efficiency furnace might be worth the money. If your furnace is really 30 years old, then you'd need new vents for a high-efficiency furnace (they use plastic PVC pipe for the exhaust vent, and also have a PVC pipe to bring in the combustion air from outside your home, which improves their efficiency). Installing these new vents might add quite a bit to the cost, or it might be very cheap depending on your situation (they can often go right out the wall instead of going up through your roof--works great).
a simple calculator to let you figure the payback time for a more efficient furnace. I bought a high-efficiency model (93%, which was the best at the time) and I've been happy with it.
3) Don't worry about the safety of a furnace without a pilot light. The gas won't flow if the ignitor doesn't operate.
4) Have you got central AC? Is it working okay? If you are happy with it, you'll probably want to get a furnace with the same blower size as the one you have now.
5)UV light--I've gone back and forth on this. It does keep your AC coils from growing muck (if this is a problem, and if the UV light is installed in the right place) and does help kill nasty stuff in your air--but is any of this really a benefit to the average family? Also, the bulb has to be replaced every year--price the replacement bulbs before you buy a unit.
6) Definitely get a heat load calculation (or do your own). You can also figure out some things based on the unit you've got now--on the very coldest days, is it unable to keep up with your heating needs (too small)? Does it have so much extra capacity that it shuts down for 50% of the time even on the coldest days (too big)?
Do a search for posts by CFB on his furnace purchase--he gave a lot of good tips here.