I'm just discovering filters too! I have a UV filter on all the time just to protect my lense (I think it's called a UV filter anyway). I also have a polarized one that I've only just started playing with. And today I bought a ND (Neutral Density?) 8 - which removes 3 stops of light. I'm trying to get that blurred people / long exposure look during day time.
Jeanie - I use Hoya filters, so they screw into each other. You don't have to take off the protective filter, just add the other one on top.
Terri