Oil filter should be changed everytime you change your oil. If you are one of the people who believe that you only need an oil change once every 10,000 miles you might consider changing your filter between oil changes too. If they get clogged the oil will bypass the filter and non-filtered oil is no good for anything.
Transmission filter should be changed about once every two years along with the transmission fluids. Factors that might lead you to change it more often are the way you drive. If you do any towing, or drive mostly stop and go driving only, or if you drive in any way that would stress you transmission more than normal you might consider changing it earlier.
Fuel filters every two years as well.
Power fluid steering filter when you change this fluid.
Air filters should be checked every month or so. You can do a visual inspection. Some people will take them out and knock out any dirt, I prefer just to replace. One thing you can do if it looks dirty is to rotate it 180 degrees. Generally they will get more dirty one one side than all around. They will probably last about 2 years as well provided you are not driving in dusty or dirty areas (near construction sites, country roads, beaches etc.
Most of these things will imporve the performance of your car, all will help increase the longevity and help keep things from breaking. Filters are pretty cheap, I would change them all when changing the realted fluids. Base change intervals on your driving style and owner's manual. Use owner's manual as max interval. If you drive hard or in adverse conditions change more often.
1995 E420 - retired
1986 420SEL - retired