Supposedly my transmission crapped out because I didn't know about the filter. I suspect it has more to do with the 150k miles it has on it.
Once a year, I flush my transmission out completely. There is a new system dealers use that hooks up directly to the trans lines, sucks all of the old fluid out, flushes the filter without removal, and reinstalls fresh fluid. It even flushes out the torque converter, something that changing your filter won't do.