The Doc does not have a strong personal preference either way. If I need a filter I attach it. I replace the lens cap when the camera is not in use. I do not think there is a right or wrong choice, just what suits your particular needs best.

I use circular polarising filter and ND filters most often, and other filters for specific needs (Lee Big Stopper, star filter, etc).

I shoot digital not film and film users may have a greater need for colour correction filters, while the digital users can often address these concerns with White Balance (WB).

Here are some pros and cons:

Pros

• You clean the filter rather than the lens, so the lens is keep in prime condition.
• You keep dust off the lens (but it is now on the filter).
• The filter is scratched rather than the lens, but this can be adequately mitigated by using the lens hood.
• It is cheaper to buy a new filter than a lens, if it is scratched or otherwise damaged.
• Convenience, the filter is on the lens, you do not have to reach into the bag and attach it.

Cons

• Loss of image quality (IQ), poor quality filters will cause more issues.
• The filter can impact auto focus (AF) performance, more noticeable with poor quality filters. Note: poor quality does not necessarily mean cheap. One of the cheaper UV filters made by Kenko is very good.
• Filters are not a substitute for properly insuring your equipment.
• Using the lens hood and cap, and being careful, is also an effective option.
• Filter thread may damage the lens thread or the filter become very difficult to remove. Tip: if you cannot remove your filter get a big rubber band and put it around the filter and try again. You can also buy lens filter “wrenches” but I have seen people for and against filter wrenches, you might say views tend to be polarised!

A civil discussion of the topic can be found here.

Game Changer?
In December 2015 Sigma released a ceramic glass filter that they say is 10 times stronger than other glass filters. It is marketed as a protective filter.