Several pros and cons to this arguement. My personal favorite is a mixture of both: a whole house filter at the air handler or furnace, and separate filter grills (with the cheap blue filters).
Filter grilles do indeed provide more restriction than a filter at the AH, due to the grille itself. But you can size them properly to overcome that.
Filters at the grilles are far more likely to be changed by the consumer, especially if the AH is hard to reach (attic, crawlspace, or just "out of sight, out of mind")
Filters at the grilles will INCREASE any return air leakage, especially when the filters are high MERV or dirty. This will also increase dust and dirt in the system.
A properly installed whole house filter, at the AH, will catch virtually ALL the dirt and dust, extending the life and efficiency of your equipment.
But, those whole house filters can be pricey. Once or twice a year ain't too bad.
I use both in my house, and I currently recommend a whole house filter with EVERY installation.
It has been my experiance that when filters are in grilles AND in the airhandling equipment, The grilles are typicaly not sized for the extra friction penalty. And on systems where both are installed together,( filter grille and at the furnace) the home owner either forgot about the one in the air handler ( out of site out of mind?!) or did not know it even existed! Especially if they bought the house from the person who had the double filters installed. We reccomend filters at the airhandling equipment and on our installs we put in 4 or 5 inch pleated filters and size them as big as we can fit into the duct!
Genius = The guy who can do anything...except make a living!
filter location is a homeowers choice. if the duct is sealed properly and sized properly sized the only thing left is static drop across the filter. filter grills need to be larger if you plan to use pleated filter merv 10+. with 4" and 5" filter most have .2" drop or more, you may need 2 filter racks in parallel not series to over come the drop. a filter should be designed to have no more that 20% of your systems static.