Camera lens filters are generally chosen for protection or for the effect they deliver. Since filters stand between your lens and your subject, a poor quality filter is an easy way to destroy image quality. Use a quality filter or no filter.
For protection, select a UV or Clear filter in the right thread size for your lens.
Many of the effect filters are fading away with film, but some remain extremely useful. I would be lost without Circular Polarizer filters. These filters have the ability to completely change the result of a picture – they can transform what would have been a snapshot into a prized wall print. These results cannot be simulated in software during post processing.
Other valuable filters include Neutral Density and Split/Graduated Neutral Density filters. These filters equally reduce, across all wavelengths of light, the amount of light entering the camera. ND filters block light from reaching the entire frame (allowing use of longer exposures or wider apertures) while split/graduated ND filters reduce the light reaching only a portion of the frame (to balance the lighting across the frame).
The cheapest item on this page, the filter wrenches, is also one of the most important pieces to have in your filter kit. A stuck filter can ruin the balance of a shoot.