Hi PaintballFan07
Not only do filters clear away tiny particles of debris that might be floating in the water they provide a home for the beneficial bacteria that process the fish wastes and make them harmless.
When you rinse filter materials under the tap, if your water has chlorine in it to purify it for human consumption, it will kill the beneficial bacteria as well. It's always best to rinse them off using water removed from the tank during water changes. The filter insert can be used until it is literally falling apart if it is treated this way, so don't feel like you need to replace them often.
Some filters (like Whisper and AquaClear) can be run effectively using filter floss which can be purchased inexpensively at the lfs. The more surface area the bacteria has to cling to the better they will be able to do their job.