You have normal layers and adjustment layers. Adjustment layers are great because you can color correct an entire image without having to flatten it first. Some imaginative people on Adobe's forums have asked if future versions of Photoshop could incorporate Filter Layers. Rumours for PS8: http://www.extremetech.com/article2/0,3973,804807,00.asp
The idea is simple enough. You create a new layer and choose one of your filters. Every layer underneath is now affected by this filter, and you get the versatility of having it on a layer - you can change opacity, mask off areas, and delete it if you don't like it.
Back to reality. Unfortunately, they don't exist yet. Try creating a blank layer and adding a lens flare to it, for example. However, here's a trick that will work with some filters.
1: Create a new layer, making sure you open the 'New Layer...' dialog box. In other words, don't just click the new layer icon on the layers palette, but Alt/Option click it, or select the 'New Layer' menu item.
2: Pick a blending mode that allows you to select the 'Fill with Neutral Color' option. For example, Hard Light should work.
3: Click OK. The new layer appears to be transparent, but in fact it is filled with a color that becomes invisible with that particular blending mode.
4: Now try applying a filter to that layer. Many filters won't work, so try and choose ones that 'add' to an image rather that alter it. For example, noise, lens flares and lighting effects are all imposed over an image, so they should work. Blur, sharpen and polar co-ordinates alter the basic structure of the image, so they probably won't.
It's not a perfect substitute for real filter layers, but with the right filters, this technique will add a little more versatility.