HEPA (high-efficiency particulate air) filters. They are worth it if you're allergic to things that mostly stay in the air, like pollen and pet dander.
Dust mites, on the other hand, are heavier and fall to the ground, so HEPA filters can't suck them out of the air. And they won't help much with pet allergies if your animals spend time in your bed or on upholstered furniture, where their dander gets into fabric.
Dehumidifiers. If dust mites are your trigger, make their lives miserable. Low humidity hurts them, especially when it's under 40%. You can buy room dehumidifiers or a larger one that goes on your furnace.
Allergy bedding. If you're allergic to dust mites, it's a good idea to cover your pillows and mattresses in special cases designed to specifically protect you from them. They don't do much good, though, for other allergy triggers.
Cleaning supplies. The chemicals in them, especially the ones you spray, can be general irritants, but they can also trigger allergy attacks. They tend to stay in the air and can make you sneeze or get a runny nose or watery eyes. Instead, use products that you can wipe with a sponge or cloth.
Another option: Try "green"cleaners that have fewer harsh chemicals. Or make your own, like a white vinegar spray or baking soda paste.