The polarizer helps with color saturation and also neutralizes reflections on glasses. It is one of the most enjoyable filters to use, and also one of the most preferred by many. Circular ones were created for AF cameras, but the effect is the same as the non-circular polarizes.
The UV is used mainly to protect the lens. Most of the times you won't notice its effect. A lot of people have always one all their lenses. The Skylight works similarly, but the effect is slightly more noticeable.
The red filter is intended mainly for B&W photography: helps with contrasts. You can also use it in color photography for creativity (your photos will turn out "covered" in red, obviously).
You can use more at a time, but beware with vigneting (is that how you write it?): it depends on the lens you use, but normally it can happen using three filters -or more, of course.
If you use a SLR you shouldn't worry much about light metering; if not, then you have to keep in mind that the filters will normally reduce the amount of light the film will receive.
I would recommend you to learn to use them one by one. This is a very attractive part of photography. Practice a lot and read something. You can begin here:
http://www.tiffen.com/camera_filters.htm
Have fun!