Have a read of this page
Look for UV/Haze (gets rid of haze, for example if your on a mountain ), polarizer (can do your blue skies) and the Neutral Density Grad (also helps with skies as it makes the contrast between sky and land less, so your camera can capture both sky and land at same time). Most UV/Haze and polarizer are round and screw-on, but some people get ND grads that can move up/down and even rotate so they can use them when the horizon isnt in the middle of the photo
I have 105mm Polarizer and ND Grad from Lee (bit expensive) - Cokin are way cheaper
But this document from Lee shows the effects of these and many other filters nicely (scroll down to page 19)
Most filter effects can be replicated in Photoshop - so many people only buy a polariser - as its the one you cant yet replicate.
For this reason some people shell out a few extra quid and get the B+W Kaesemann polarisers like these
, which are the best available according to many people. They are made by hand by Ooompah Loompahs or something and are rather fabulous
If you have wide angle lens, ensure you get the 'slim' version, which doesnt suffer from something called vignetting - see this page
I've got one of those, and some Lee Filters (105mm polarizer and couple of ND Grads). More money than sense
If you go to the HKDIRECT shop on ebay
you'll find loads of differently priced polarisers. Remember to get right size for your lens, and ensure its a 'circular' polariser if you are using autofocus on your camera ...
EDIT : forgot to say - some lenses need a filter on the front to complete their weather sealing - in which case a cheap UV/Haze filter does the job nicely - can be useful abroad to keep dust from getting in etc