[Arkady]

The UV and skylight do much the same thing - cut down haze a little.
Most of us just use them to protect the front element of the lens - better to write off a £15 filter than a £1500 lens.

The Polarising filter blocks light from a specific direction - imagine light as a series of waves travelling towards you from a single point (the sun) - the polariser blocks some of that, making blue skies darker (depending on the rotation of the filter and the direction of the light) and can be used to cancle reflections from non-metallic surfaces. Useful for shooting through glass. (simple version)

It can, however cause some dramas with DSLR's as the matrix of pixels sometimes conflicts with the filter causing terrible moire effect. Using a circular rather than a linear polariser will solve this, but they cost about £50+ (my 72mm and 77mm Nikon filters are even more expensive and I hardly ever use them).