Oil filter :The oil filter is used to retain metal grains released by motor components when engines are running.The filter becomes clogged and prevents oil circulation impeding correct engine lubrification.
In order to prevent quick engine deterioration, it is recommended to replace oil filters regularly between 5000 km and 10.000 km..

Fuel filter : Fuel filters are used to clear up fuel from the thin particles it may contain.
A clogged filter can cause the formation of small "holes" which could hinder fuel supply to the engine or cut it out completely thus preventing it from running normally. Filtered fuel would improve engine performance and increase its life span. It is recommended to replace the fuel filter every 20.000 km at most..

Air filter : The air filter cleans the engine air intake from dust. When clogged, it can cause :

Dust to penetrate into the injection system which would corrode engine segments.
A loss of engine power which would require more acceleration resulting in higher fuel consumption.
Increased exhaust fumes which would pollute the atmosphere.

Depending on the country, weather conditions and ground coating, it is recommended to replace the filter every 10.000 km to 15.000 km.

Diesel filter : This is designed to protect diesel engine injection pumps. The filter removes impurities and excess water contained in the gasoline. When the filter is clogged, it can cause :

Bad combustion.
Increased exhaust fumes.
Damaged injection pumps.

For efficient use, it will be useful to drain water from the filter every 5000 km to 7000 km, and to replace it every 10.000 km.