Admit it: when you first got your copy of Photoshop, the first thing you did is play with the filters. I know I did. Filters are great, and let you achieve an amazing variety of effects with little effort.
But some digital artists hate filters. They will tell you filters look cheesy and have no place in "real" art. Hogwash. While inappropriate use of filters certainly can look cheesy, smart use of filters can enhance your work tremendously.
To that effect, I present these four important tips to get the most out of your filters.
1) Avoid the obvious. There are some filters that are so blatantly obvious that they should seldom be used. These filters practically scream out "I'm a Photoshop newbie, everybody! Don't take me seriously!" I'll use this Janet Jackson photo to demonstrate.

Now here's the photo, with the King of Overused Filters, the Lens Flare:

Other obvious filters include the Texturizer's 'Bricks' setting, and, in this case, the Stained Glass filter:

Yecch. Almost as hideous as the original.
Now, this isn't to say you can never use a lens flare in your work. The key is to avoid obvious use of the filters. Draw your own stained glass image with the Cutout filter, it looks far better. Instead of using Texturizer, go to a stock image website and download a texture instead.
And if you think I'm exaggerating about this problem, don't click on this link right now.
2) High Resolution. Work in high resolution, it makes a big difference. If you're creating an 800x600 picture, begin at 2400x1800 and shrink it when you're done. Print artists have been doing this forever and know the trick - reducing the image size sharpens the whole picture and hides sloppy irregularities. Filters that benefit most from this are Paint Daubs, Palette Knife, and anything in the Brush Strokes & Sketch categories. These filters look pixelated and grainy at normal resolution, and are meant to be reduced to get their proper effect.
3) The Fade Command. This is the single most important command for filters. In case you've never heard of it, it's sitting there right under "Edit". Fade is indispensible, and here's why:
Take this picture.

It's an evil knight. Looks OK, but we want a more medieval, ancient look. Let's try the Fresco filter.

Ahh! It's crap! I'm never using Fresco again!
Calm down now, and consider the Fade command:

Now we've Faded the filter, set it to "Multiply, 35%", and it gives us the effect we want: an old-looking textured paper. We can try some more:

Now it's pretty sweet if I say so myself! Here's what we did:
Edit->Fill (with a light tan) -> Fade Multiply
gives the picture a sepia color
Filter -> Texture -> Texturizer -> Canvas -> Fade Overlay
to add a parchment background
Filter -> Stylize -> Glowing Edges -> Fade Difference 25%
Usually you want to avoid the Difference mode because it leads to an unwanted psychadelic image. But using it at low percentages in monotone pictures is handy at enhancing the outlines of your sketch.
Image -> Adjust -> Shadow/Highlight
This is a new feature in Photoshop CS*, which is very handy at adjusting tone. It made the white parts of the picture glow a little, and the shadows deeper.
And there you have it - a simple pencil drawing is easily turned into an effective illustration with only a few steps, and your friend, the Fade command.
4) Beware of Broken Filters. One of my favorite filters is Lighting Effects. With it you can add all sorts of cool effects to your artwork. In this example, we filtered the previous image, with the Texture Channel set to Red, Height 10.

The filter makes the black portion of the image to rise out, giving us an nice pseudo-3D effect. That's always cool. But there's a problem.
When you use Lighting Effects, and set a texture channel to get this effect, it crashes Photoshop sometimes. That's right, this filter loves to crash, taking your hour of unsaved work right along with it.
I have been using Photoshop for almost 10 years now. I've had version 4,5,6,7, and the new CS. I have had four different computers in this timespan. This problem has been happening the ENTIRE TIME, across ALL the different systems, on a variety of different operating systems. Since this crash only happens in random occasions, I always forget about it and lose my important work. A gigantic Fuck You to the Adobe Corporation for never fixing this.
I guess that rant isn't going to help you with your photos, but it sure felt good.
In conclusion, always save if you're going to use Lighting Effects. Remember those other tips too, they might come in handy or something.