Depends on the filter. A polariser or a YB polariser can not be faked in photoshop regardless of what people tell you. Warming filters, colour filters, fogging filters, soft focus, etc all can be faked in photoshop with a much finer control than having the filter itself.
ND filters can't be faked again but then I see no reason to use one at a wedding short of making a funky motion blur, but given that the venues are so poorly lit the same effect can be achieved with a tight aperture.
ND grad filters can be faked by taking 2 exposures, however the filter itself would negate the need for a tripod or the problem of having 2 exposures of moving subjects.
IR filters can't be done in photoshop but then again you wouldn't want one at a wedding especially with a digital camera not converted for the process. The exposure times would be insane.
I can't think of any other filter that can no be done in photoshop off hand, but some may come up with one.