I have noticed that my skin noticably improves when I stay outside of New York City for an extended period of time. What does that say about the quality of the air?
And I do know that AC filters must be replaced more often in NYC buildings than in other places (or at least they *should* be replaced - it depends on how good the maintenance guys are).
That having been said, the only advice I have for you is this: in order to protect your lungs, breathe through your nose.