After enough research and talking with a few different companies, this is what I have found out.
Water Softener - this is good for removing Calcium, Iron, Magnesium, etc out of the water. It mainly used for getting a small degree of minerals out of the water. Using it primarily for high iron removal will decrease the life of the softener.
Chlorination - this will technically work for iron. You can get a pellet dispenser directly on the well. This would also help for bacteria. However, it would increase the arsenic levels which we are bordering high already. Its also not the greatest to be drinking chlorine.
Ozone Iron Filter - the benefit from what I researched with this is that the ozone will kill off bacteria. The maintenance can be somewhat costly from what I hear. Its once a year but costs 100 to 200.
Air Iron Filter - this is what we ended up going with. Maintenance is going to be around 20 for a new part each year, otherwise don't have to do much with it. Its going to cost about 1700 to 2100 which is close to the same price for ozone filter.
The average life of each system seems to be about the same, 10 - 15 - 20 years depending on the amount of iron or other minerals its filtering.
Update - we purchased an air iron filter because we had very high iron content. The water softener didn't remove enough of the iron. The new iron filter works very well, can't smell the iron anymore and the faucets don't get red. It does cycle through water quite frequently (2 to 3 days) and is pretty loud when it does. Overall though, it works well.