Lens hoods help both in protecting the front of the lens and in shading the lens from stray light. They are most useful on longer lenses and prime (non-zoom) lenses. I use them on all of my lenses except my 17-40mm and use them almost all the time.
I'm also not a fan of UV filters, but to each his own. If you do use one, watch out for reflections and flare problems when shooting with a bright light source in your picture.
As for creative filters, the three I consider worth bothering with on a digital camera are a polarizer, a neutral density filter, and a graduated neutral density filter. The polarizer is great for cutting down on reflections and glare and also helps to darken skies.
A neutral density filter is like putting sunglasses on your lens. If you want a longer exposure than you could otherwise get, they come in handy. They are most often used when you want motion blur (waterfalls, moving subjects, etc).
A graduated neutral density filter is a filter that is partially clear and partially dark (like a neutral density filter). It is useful when part of the scene you are shooting is in the sun and part is in the shade. You can use one to balance the two. They come in many different strengths and two flavors. With one flavor, the change from dark to light is very sudden. With the other flavor, it is gradual. I recommend that you get a Cokin-style GND rather than a simple screw on type. This allows you to adjust the split up and down.
Some people say that GND filters aren't needed anymore because of HDR. That's true for static scenes. For scenes where important subject elements change between exposures, they are still good to have.
On a scale of importance (to me), I'd rank a polarizer a 9 out of 10. If you shoot a lot outdoors, you are crazy not to have one. An ND is more like a 3 and a GND is like a 2. I rank all of the others - star effects, soft focus, colors, etc more like 1. You can do almost all of that in post production so don't mess up your original capture.
