A furnace should be serviced once a year, ideally in early autumn before the first cold snap. In a Canadian climate a furnace runs hard for six months or more, and the failures that leave a family without heat in January are almost always visible in September.
What a service actually covers
A proper annual service is not a five-minute look. A technician should clean the burners, check the heat exchanger for cracks, test the flame sensor, measure gas pressure, check the flue for blockages, and confirm the safety controls shut the unit down when they should.
A cracked heat exchanger is the one fault that turns a heating problem into a carbon monoxide problem. It is the reason the annual check is not optional.
What you can do yourself
Change the filter every one to three months during the heating season. A blocked filter makes the furnace work harder, raises your bill, and shortens the life of the blower motor. It is the cheapest maintenance there is.
When to call sooner
Do not wait for the annual visit if you notice short cycling, a yellow rather than blue burner flame, a burning smell that does not clear after the first run of the season, or rising bills with no change in the weather.