Which filters you need depend on what types of photography you enjoy.
A soft focus filter is a portrait filter that softens blemishes/lines. Some people love them, some hate them. I think they're nice in certain situations, but not right for every shot. I can post examples if needed.
A polarizer removes glare and reflections. They are useful for increasing the contrast between blue sky and white clouds, or for taking the glare off of a lake surface, or for cutting reflections from glass, etc.
Skylight, haze and UV filters are all very similar. They cut some of the atmospheric haze caused by UV light. The effect is usually minimal. The only difference is that the skylight filter is slightly tinted to add a small bit of warmth. Some people put one on the front of all lenses as a scratch guard, but you might lose some image quality (does a $15 piece of glass have the same image quality as a $300 one?).
Neutral density filters are useful when you need slow shutter speeds in bright situations. They cut the amount of light entering the lens. Basically they are sunglasses for your camera. If you've seen pictures of waterfalls where the water looks like long flows instead of wild sprays, an ND filter may have been used to help in getting shutter speed slow enough to cause the effect.
You can also buy graduated ND filters, which are tinted at teh top and clear at the bottom. These are helpful when shooting sunrises or other high contrast situations. They cut some of the bright direct sunlight above the horizon so that details of the scene below the horizon can be seen in the photo.
Red and yellow filters are good for black&white photography. They increase contrast (red causes a more dramatic effect than yellow) between sky and clouds, or between leaves and flowers, etc.
As far as filter sizes, if all your lenses are 49mm, then buying 49mm filters is the way to go. If you have 52 or 58mm lenses or larger, then you might want to think about buying larger filters and step-down rings so that all your filters will fit all your lenses, or you might want to try the Cokin system.
Hope this helps.