I'm just a hobbyist, and can't justify hundreds for a filter, but I like the effects of certain filters. I wish I had Lee, Singh-Ray, or B+W, but if I did, I'd have to get used to sleeping in the garage.
As for brand, I have found the HOYA HMC line to be a good compromise of quality and affordability. I won't do Tiffen, as they aren't multi-coated (same with the Polaroid and other brands). I grabbed a HOYA CPL on
ebay for $10 (used), and a new HOYA HMC ND4 (2 stops) for $11. You have to be patient for the screaming deals, and then jump when they show up.
Another (affordable) brand I've heard very good things about is Marumi. I'm looking to get an ND8 (4 stops) or greater (would love a VariND, but...), and the Marumi's are looking good to me.
There is a general consensus that a UV filter or clear filter is a waste of money. I would agree. UV/Skylight filters were essential in film photography, but with digital, your sensor is designed to 'filter' the UV rays. From a 'protection' standpoint, they can do more harm then nothing in front of the lens. Lenses are coated, and very difficult to scratch/break, and most scratches (or even gouges) won't be visible of the image. If something was to hit your front element, it probably wouldn't have any affect on t. However, if something was to hit the filter hard enough to break it (and it doesn't take much to break a filter), the chances of the glass into glass scratching or harming the lens is really high. Aside from that, the IQ deteriorates pretty quick with a UV (or any filter).
As most of what your typical filters do can be reproduced in PP, you really only need the filters that can't be reproduced; CPL's & ND's, are (IMO) the main ones, with things like star-effect filters, multi-image, and split filters being in the second group (again, IMO).
As mentioned earlier, CPL's will reduce/eliminate glare and unwanted reflections, which you can't do in PP. ND's allow for longer exposure times & wider apertures, without affecting other aspects of the image. They allow you to show motion when you want to. You can also 'stack' filters, where you put more than one on the lens. Keep in mind that each filter you put in front of the image will decrease IQ more and more, and can cause unwanted vignetting.
Think about the types of pictures you want to take, and figure out what kind of filter(s) can help you achieve your desired affect. For me, it ND's and CPL's, and not much else.