A Polarising filter is probably the most useful and least intrusive of all filters. It can be used to remove or reduce reflections off non-metallic surfaces (e.g. when shooting through glass). It can also intensify the colour saturation of a blue sky.
The filter can be rotated to vary the strength of the effect, which will be visible in the viewfinder.
N.B. If you have an Autofocus camera you must use a "Circular Polarising" filter in order for the focusing to work properly.