Couple things...
If you've never been in the trans and don't know when the last time it was done, sure, drop the pan. If it was done within the last 60,000 miles, leave the pan.
The filter is not a filter, it's barely finer than window screen. It's not a paper filter or anything that can really get clogged unless you have a lot of big chunks (bye-bye trans).
The only real benefit to dropping the pan is having a look around and cleaning out whatever has settled into the pan as well as checking for any larger chunks.
The above said... make up your own mind on dropping the pan. Let's move on to more important things; installing a real filter and flushing all the fluid.
I would say that your first move should be to install an in-line filter between the radiator cooler and auxiliary cooler. This is super easy as you just cut the rubber hose and install whatever filter you want. For a budget mind, I'd recommend the Magnefine. They have a recommended change interval on them, maybe 60,000 miles or something. If you're feeling like starting a project and spending a bit more, see my signature for the spin-on transmission filter. You'll see pictures that explain why I recommend it.
Whichever filter you choose, it's important to start collecting the crud out of your transmission before doing anything else. Drive it with the filter for a few hundred miles, running through all the gears manually. Once you have some milage, you can start messing with fluids.
There's a few schools of thought on trans fluids. Many people say that if you exchange all the fluid in one go, you'll have problems due to the grit being removed and new detergents in the fluid knocking loose crud in the transmission. I don't know if that's true or not but why take the risk? If your trans hasn't had much maintenance, it would be a good idea (after running the filter) to drop the pan, clean everything down, replace the internal filter and put it back together. Then, just top up the transmission fluid. This will have replaced less than half the fluid. The smaller amount of new fluid will clean grit that will now get trapped in your in-line filter. Drive it like that for a few hundred/thousand miles.
Now, if your trans has had service within the last 50,000 miles or you've just completed the above step, it's time for a flush. No need to drop the pan and take an ATF bath. Just disconnect the in-line filter you installed, run the hose into a large container. It would be a good idea to use a clear hose or be able to see the fluid coming out of the hose. Start the engine and let maybe 2 or so quarts come out. Once that's happened, start pouring new fluid into the dipstick tube via a funnel. Pour at the same rate it's coming out. The trickier part here is knowing when to stop. Hopefully your fluid has some age on it and you can tell the color difference between the old & new. So, when the fluid coming out of the cooler lines is the same color as the fluid going in, stop the engine and hook everything back up. Start the engine, let it warm up and check the level. Add as necessary.
An issue with the above step is that if you drop the pan and fill with fresh fluid, it's going to be cleaner. That's not so great when you go to do the flush and can't tell the old fluid from the new fluid.
These are just my opinions gathered from research and personal experience. Take them with a grain of salt and add your own common sense.
