The big ones have greater surface area which will allow them to provide better filtration with less air flow restriction. Still don't go nuts trying to get the highest level of filtration possible. Stick with something middle of the road like MERV 8.
Unfortunately, they are more expensive and don't necessarily last as long as they advertise. I recommend changing then quarterly. HVAC filters are kinda like car oil changes, better to err on the side of more often than not often enough.
Watch for sales online, you can often find half price deals and stock up.