Depending on whom you ask, the acronym HEPA stands for "High Efficiency Particulate Air" or "High Efficiency Particulate Absorbing". The acronym is used to describe air filters or vacuums that are able to remove extremely small particles from the air.
The original HEPA filters were designed in the 1940s to remove radioactive particles from the air. Today, HEPA filters are often used by people that suffer from allergies or asthma to remove allergens such as dust, pollen and mold from the air in their homes.
Technically speaking, the US Centers for Disease Control defines a HEPA filter as an air filter that removes more than 99.97% of particles 0.3 microns or larger at a specified flow rate of air. To give you a sense of the scale of a 0.3 micron particle, there are 1 million microns in a meter, or about 24,500 microns in an inch.
As a final note, some air filters that remove far less than 99.97% of 0.3 micron particles are marketed as "HEPA-type" filters. However, these filters will be far less effective at removing particles from the air.
For more information on furnace and HEPA filters, please see our filters home page.