There are a few big types:
UV: more or less a clear filter, good for protection
CPL: Circular Polarizer, these can help get rid of glare/reflections on glass or water, can also help darken the sky and make some colors more punchy
ND: Neutral Density, these decrease the amount of light getting to your sensor and allows for slower shutter speeds, good for instances when you want to show motion blur but it's too bright outside to get a slow shutter speed to get that motion blur
Split ND: Split Neutral Density, filter in which the top half is a darkened neutral density filter and the bottom half is clear, allows for the successful capture of landscapes in which the dynamic range between sky and earth is too wide for the camera to capture. Using a Split ND, the bright sky gets darkened using the top half while the lower half remains unaffected, resulting in a picture without a blown out sky or underexposed ground.
Quality:
Fully Multicoated filters are what you should be looking at.
Good brands include Hoya, B+W, Heliopan, and Cokin. Get their multicoated filters if you can (For Hoya, these are SMC, HMC, and Pro1)
Aluminum rings can be hard to screw off the lens. Brass is supposed to be easier to screw off. This would only be a big deal for CPLs.
Retailers:
http://hvstar.net/
plus all your other standard photo places like Adorama and B&H
Other:
Step Up and Step Down rings are adapters for your filters. For example, a 77mm filter will fit a lens with a 77mm filter diameter (this is not the same as focal length, which is also expressed in millimeters). If you have a lens with a 72mm filter diameter you can purchase a 77 -> 72mm step up ring so that the 77mm filter can mount on the 72mm lens (and 72mm lens "steps up" to the 77mm size). Using these can make using the standard lens hood impossible.