Filters are definitely not all the same. They differ in purpose and in quality. What type of filter do you want? Few filters are worth using on a digital camera. Polarizers are very useful. Neutral Density filters are somewhat useful. Graduated Neutral Density filters are useful in a few circumstances. Some people like UV filters as a form of lens protection. There aren't many other filters I can see wanting on a digital camera.
Filters differ in quality in several different ways. The material used to make the filter can be more or less resistant to scratching. Coated filters are much more resistant to flare (problems caused when lights in or near your scene hit the filter). They can also cause optical distortions, like the decreasing resolution, causing color fringing, causing a decrease in contrast or color saturation, or even causing a color shift. The filter ring material can also make a difference in how likely the filter is to jam and become hard to remove from your lens.
Another big difference in filter is size. Make sure that you get the appropriate filter for your lens. The size of the threads on lenses varies. As a general rule, it is best to buy filters for the largest lens you think you'll use the filter on and then buy step up rings for the smaller lenses.
Filters also vary in shape. Most are round. Some are square and slide into holders on your lens. The square ones are really useful for graduated neutral density filters (filters with a dark half and a light half) so that you can slide the line between the dark and light section where you want it in your picture.
Except for the vary cheapest filters (no name junk on EBay), most filters are OK. The more you spend, the better the filter will be. Like almost everything photography related, the improvements rapidly get smaller as you move up in price and the prices jump quickly.
In my experience, the best filters are made by Singh Ray, Lee, and B+W. The high end Hoya stuff is also very good, but their cases are atrocious. Cokin and Tiffen make serviceable filters. Don't bother buying Nikon, Canon, etc filters. They are generally just rebadged Tiffen filters or something similar with a significant price jump.
The only exception to that is for Close-up filters. Canon is the only one that I know of that makes really nice close-up filters. They work just fine on Nikons or any other cameras.