I also bought from Jessops a Circular Polarising Filter, i have read in many magazines including the one i subscribe to Digital SLR Magazine that apart from protecting you lens with a UV or skylight filter the best filter to buy is a polarising filter.
I can now see why people say it as you can see from the two photos below the dramatic difference makes with and without the effect.
Below with out!
Below with Polarising Filter!!
As you can see the saturation and punch from the shot really lights up in front of you!