I can only speak with regards to film photography, but with colour one of the most useful ones are the polarizer and graduated filters. The PL will help to eliminate reflections and accentuate a blue sky (this will vary on your angle to the sun). The graduated will avoid over-exposure on the sky, allowing you to expose the landscape correctly whilst holding back on the sky by a certain number of stops (depending on the strength).
For black & white, I use yellow, orange and red - the yellow having the weakest effect and the red the strongest. These are great for creating dramatic skies.