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• Polariser, Neutral Density Filter (ND), and others appropriate for your style

• To get the subject to stand out
• Polariser: Add a deeper colour to the sky
• Polariser + ND: Avoid overly dark spots because of your camera metering for overly bright bits (and vice versa) .In other words, averaging out the contrast
• NB: The filters discussed below are the ones that are common or that I have experience with.

• Basically, there are screw on filters (seen here), and slide on ones (seen here and below). The big difference is, you have more flexibility with the slide on ones. I use Cokin, as these are cheaper and the filters can be used on any lens with minimal adaptation (one size fits all, except for the screw on adaptor ring, which is much cheaper than any filter anyway). However, the screw mount filters fit only one size lens (no adaptor rings are available).
• Polarisers are seen as the first-bought and most essential filter for all beginning photographers and professionals alike. These add a deeper colour to the sky helping to make clouds stand out. And yes, polarisers are still needed with digital cameras (nothing you can do in Photoshop can bring out equivalent effects). They can also 'pretend' to be an ND filter to reduce contrast between overly bright spots, and overly dark patches. I use a linear polariser only because I could get it cheap; it's best though, to get a 'circular' one if you can, as it apparently gives a truer light meter reading in your camera. With most polarisers, you turn them to deepen or lessen the darkness / depth of the sky (or other subjects).
• Neutral Density (ND) filters are great for reducing harsh light. The first picture below should have used an ND with the polariser to help reduce the glare off of the pavement. The idea being to average-out the bright spots and the darker areas, and to help bring out details under the eaves of the temple seen below. Compare this to the Golden Pavilion also seen below.
• Graduated filters (seen below) are great in preserving colour in either the foreground or background, whilst modifying the other. In the sunset picture seen below, a tobacco-coloured filter was used to preserve the greeness of the rice field, whilst enhancing the colour of the sunset. Occasionally, on rainy days I might add a graduated-fog filter, though I'm yet to get a good picture with it.
• Warmers are great for portraits and in 'cool light', like cloudy or rainy days, and adding a lovely warm colour to skin as sunset approaches. Though I wouldn't use them on snowy days. In the studio they put a 'warm' cast (a browny hue) over the whole picture, so it might be better to use a warmer on one of your studio flashes, so the whole scene isn't rendered 'warm'. Furthermore, many high-end amateurs and some professionals might use Photoshop instead of using one of these filters. I haven't used mine for... I can't remember! UPDATE: I now love using it for portraits near sunset.
• Magnifiers are rare, because they are a poor-mans extension tubes or macro lenses*. They are smaller and lighter-weight, so a little more handy. But perhaps they produce a softer effect than extension tubes or macro lenses, and can't zoom in as much.
• Buying. If you're considering buying any filters, first, consider if you really need it. There is a joke in photography: "how do you make a million in photography? Start with two million." Only purchase anything, if you're really needing it, and could have already got better pictures in the past if you had it. The same rule should apply with buying lenses.

*Extension tubes are adaptations that fit on your camera between your camera and the lens. It makes your lens into a kind of zoom that effectively gives it microsope-like abilities.

Examples:

Click on these to view them at a larger size

	< F5.6, 1/100, iso100; with 18-70mm lens at 18mm, with Cokin P160 linear polariser filter. Horyu-ji, Nara, Japan.
	< F8, 1/25, iso100; with 18-70mm lens at 45mm, with Cokin P124 Tobacco Graduated filter. A bell tower at a Shinto Shrine, Nagashima, Japan.
	< F6.3, 1/160, iso250; 18-70mm lens at 60mm, with Cokin P103 (+3). Taken at Higashiama Gardens, Nagoya, Japan. These are very, very small flowers. The magnifier helped bring out the smaller details on these flowers, however, extension tubes might have done a better job of it. Also note, the nicely blurred out background (see Depth of field article). Note the high shutter speed, this is to compensate for a close-up (shaky) handheld job.
	< F13, 1/20, iso100; 18-70mm lens at 35mm, with Cokin P160 linear polariser and Cokin P152 ND, tripod, and remote shutter release. It was a brilliant sunny morning here at Kinkaku-ji temple (Golden Pavilion, with real gold leaf external walls). I wanted to use a very slow shutter speed to get a mirror effect of the water, get details in the shadows under the eaves, and reduce the glare of the gold. Unfortunately, a security guard moved me and my tripod on before I realised that the tree in the foreground was ruinously in shadow! Kinkaku-ji receives near tens of thousands of visitors daily, so this viewing area is really crowded, thus the no tripod rule.