It really depends on what you are doing with the analogue output and how fast you want to be able to change it. How much ripple can you stand on the output? What are you driving?
The default PWM frequency is about 500 Hz or 1000 Hz depending on which analog pin you use.
The cut-off frequency of a simple RC low pass filter is given by:
f = 1/2PiR*C
A signal at that frequency will be attenuated by 3 dB and the attenuation increases by 6 dB for every doubling of frequency above that ( O.K. it's a bit more complicated than that but that's good enough for now).
There's a simple calculator that can do the sums for you here