There's two components to oil change intervals:
Detergent packages in the oil (which keep the oil "fresh" and the lubricity up)
Particulate removal (The job of the filter)
Brand-new filters are actually LESS efficient, and let through MORE particles. They take a few hundred miles to "break in" (get the largest holes clogged) before they filter down to the smaller micron particulates.
1) There's nothing "wrong" with sucking the oil through the dipstick hole. It only leaves a small fraction of the oil behind.
It does becomes critical to warm the engine before your oil change using this method. You'll want all the particles that settled to the bottom of the pan (which you won't fully get with the suction method) suspended in the oil.
2) ALL oils (even the cheapest ones) will last until AT LEAST 3000. Because of government regulations for formulating oils, even most cheap oils go to 6000 with no problems. If you do frequent oil changes (3000), just use cheap Wal-Mart oil (it's actually really good stuff, and will last 6000 even with off-road abuse). The added $$$ you're spending for "quality" oils is $$$ spent on detergent packages (extending the need for oil changes to 6000 to 12,000 miles depending on quality). Unless you're wanting to extend your oil change interval to 6000+ miles, it's a total waste of money to get the expensive stuff.
3) Oil filters only need to be changed every 6000 miles. Best quality & value filters are:
* Purilator (pep-boys runs great sales on these)
* NAPA - made by Dana/WIX (really good stuff - there's no real difference between "regular" and "gold" versions)
* Supertech by Wal-Mart
* Mibile 1 (a little more expensive, but almost as good as the Purilator)
Fram SUCKS - STAY AWAY. You've been warned.
AMSOIL is probably one of the best - but it's VERY expensive, and no need to use it unless you want to extend your oil change intervals.
I change my filter with every oil change. I'll change my oil every 3000-6000 depending on how much off-rading I've been doing.
For more info:
http://www.bobistheoilguy.com/http://people.msoe.edu/~yoderw/oilfilterstudy/oilfilters.html