In order of usefulness -
* CP - Can be used to enhance an image in a way that's totally impossible with software.
* GND - Has an effect that can be replicated in software, but never with equally good results.
* ND - Specialised uses where a very slow shutter speed is required in bright scenes.
* Special Effect Filters - things like Star filters - Can often be replicated in software (if you should ever be sad enough to want to).
* Coloured filters - Can normally be replicated easily in software.
* UV/so-called 'Protective' Filters - Can easily be replicated by using the 'Blur' and 'Lens Flare' tools in Photoshop.