I've never used in-camera filters.
I tried in-camera HDR once, but never used it again.
Three different "strength" presets don't cut it, IMHO... and then you have to judge the outcome from the LCD display.
I'd rather bracket (+-1, because with +-2 I've always had problems, steps are just too coarse...) and tonemap at home, or simply process a single RAW if I deem that I can recover whatever is necessary in the highlights and/or in the shadows.
As far as filtering is concerned, I'd rather build my own effects from the ground up in the rare cases I decide to try it.
Plus, I also physically use all those filters which can't be replicated via software (CPL, variable NDs when I don't bracket, etc...).
So for me a camera is just a raw RAW producing machine, pun intended...