For my home office, I figured that I was serious about filing paper. I wanted to avoid those little 2-drawer, ~15-inch deep models that you can buy in any discount store for $20.
I went to an office supply store and spent several hundred dollars on a Steelcase, 5-draw, letter-size, 28.5-inch deep file cabinet with metal glides and bearings that support the drawers. By the time I was done with 5 metal frames for hanging folders (sorry, Dave), the hanging folders themselves, a bunch of manila file folders, and sales tax, I had spent about $500 in 1991.
I still have the file cabinet. I have been completely satisfied with this purchase, and I expect that it is durable enough to last my lifetime. When I run out of room (soon!), I will either have to do a better job of purging old stuff or find more room in the house for another Steelcase file cabinet.
No, I don't work for Steelcase. I'm just a satisfied customer.
I have had great experience with Hon - both two and four drawer. I always buy the legal size (sometimes a little harder to find) rather than letter size even though I use letter size paper, because it gives a little extra room on the sides and makes pulling files out and putting them back that much easier. Consequently, I'm more likely to do the filing.
If money is an issue, I would recommend going to office furniture stores that have a used furniture area. I was able to pick up some office quality 4-drawer file cabinets at really cheap prices (less than $100 each). Granted, the color wasn't exactly what I was looking for but...
Buy a high quality cabinet. I thought I had a great one, the right kind of rollers, etc, but I wasn't using hanging files, just putting the files in the drawer like DA suggests. Soon enough, the bottoms fell out of my drawers! Now I have to use hanging files until I can get a new cabinet. Argh. It wasn't a cheap cabinet either. So pay attention to what the bottoms of the drawers are made of and how they are attached - metal or solid wood actually nailed (or whatever) onto the sides of the drawer, not masonite slid into a groove!
After years of crummy filing cabinets bought second-hand when we were students, my wife and I had identical Hon 4-drawer cabinets delivered to our house for each of us. Very happy with them. Drawers work smoothly even when loaded up.
In my office we use a lot of file cabinets and they have to be top quality because of the weight of the files. If you look in the yellow pages under office equipment, there will be several that have used equipment. Some of the stuff is like brand new at a signifigant discount. Most of it will be the heavy duty kind.
I started with a plastic file tub and then had a cheap 2 drawer cabinet which was painful to use.
Now I have a bunch of assorted file cabinets that I got cheaply or free when a business was closing an office. I started off buying two, gave them my name, and kept getting calls asking if I wanted the leftover cabinets that were a little banged up, old, or rusty.
The older General Fireproofing (a brand name, not all their cabinets are fireproof), Cole, Steelcase, and Shaw-Walker cabinets are heavy and were built to last forever.
If you don't like the color (modern tastes usually find the dark grays and olive greens horrendous) and want them to look nice you can sand the rust and paint them, or get them professionally painted or powder coated.
File cabinets are frequently listed free or inexpensively on Craigslist. The shipping on eBay would probably be expensive.