santacruzsi
fitlers fall into three main catagories, they are placed in front of (or behind on some more obscure lenses) the lens to directly affect the light hitting the film/sensor and are therefore a permanent effect unlike filtering in software.
Colour effects will cut the amount of certain colours entering the lens so can be used to enhance or retard the appearance of certain things like the sky, grass or flesh tones
EV (or light level) effects serve to reduce the amount of light entering the lens without changing the colour (this is called 'ND' or Neutral Density). It is either a flat change across the whole frame or a graduated change across the frame (Grad ND). This means you can change the ISO/aperture settings whilst maintaining good exposure or you can lessen the effects of having a high variation of light level across the frame (like a bright sky with a dark foreground).
Special filters like UV(0), Soft focus and Polarising filters have specific effects. UV filters cut out UV light which can help to cut out Haze in the air. Polarising filters cut down on light that has been reflected (and therefore polarised), this can be from the atmosphere to cut or boost the brightness of the sky or from other surfaces like water and glass.