Considering that a fuel filter cost about $10 and a tow truck cost $150+, I'd change it about every 50K miles. But if you have a lot of trash in your tank you may have to change it more often.

FYI, for those few of us who have a fuel filter mounted under the hood, make sure the previous owner(s) didn't leave the original fuel filter installed at the tank (like mine did <img src="/forums/images/graemlins/rolleyes.gif" alt="" /> ). If your filter has been moved just make sure it's installed on the ENTERING side of the fuel pump and not the LEAVING side. The filter needs to protect the pump.