I agree entirely with Abirkill and have to say i would never bother wasting my money on a linear polariser as there is very little difference in the price and the CPL does the job properly for AF lenses which most people use, at least some of the time.
Returning to the UV filter, the main reason for haing them is definitely for protection but a good reason to avoid a cheapy is that the good ones have a much better mount. Cheap ones can usually be easily rotated in their mount because they have no sealing. This means that you will frequently need to remove it to clean the dust that gathers underneath it and on the front surface of the lens. A better quality filter will not let half as much dust through.
The multi-coated filters are definitely worth paying for as they reduce a lot of UV haze. The camera sensor is far more susceptible to this haze than the naked eye is so you won't be too aware of it until you see the results when it is too late!
So, go for a Hoya MC UV filter and know that your lens is protected as well as your images being helped to be the best they can
Remember this: the disappoint of poor quality stays with you far longer than the thrill of saving a few quid!
Cheers,
Rob