better filtration? Even temps? Higher utility bills? More noise? Really Hutch, it depends on what type equipment you have and what you want from it. So..... for starters, What kind of furnace do you have and why do you ask?
My doctor gave me six months to live, but when I couldn't pay the bill he gave me six months more.
You live in the south so your ductwork or part of it, if a two story, is in unconditioned space most likely, so you do not want to run your blower all the time. The reason is infiltration will cool the warm air circulating through your ductwork causing your inside temperature to drop faster and wasting money since your furnace will need to come on sooner rather than later, not to mention the energy you wasted circulating the air. Just let the furnace cycle in auto.
Make sure you have sufficient insulation in your addict, and all your weather stripping around windows and doors is good, and caulk where needed outside.
If you have hot spots, call a competent contractor who is trained to perform air balancing and have him balance your ductwork in your house, or perform any needed repairs to make it right.