All filters are not created equal!  Many times I've seen some very expensive lenses for sale with a cheap UV filter "protecting" the lens.  Inferior filters can seriously affect the performance of your lens.  They can shift color, add distortion, chromatic aberration, and reduce the amount of light reaching the film plane/sensor.  Putting an inferior filter on your $1500 lens can turn it into a $150 lens in a big hurry.

You can search for reviews on different filters, but to make it simple here's a quick reference of my top picks:

• Heliopan
• B+W
• Hoya (HMC Super) - these are my overall favorites as they are affordable, well made, and have high light transmission.
  

After these, there are a ton of mid-priced filters that would work well on lower-end lenses:

• Tiffen
• Hoya (Green)
• Sunpak

Manufacturers' filters may or may not be the best choice.  I've found many of them to be poorly made, but you have to decide for yourself.  It seems filters are an afterthought for the manufacturers.

I would avoid all "no name" filters especially for UV, Haze, ND, or Polarizing.  If you're playing around with multiple image or other creative filters, the cheaper filters are fine as you're going to degrade image quality anyway.

I hope this helps!