Water filters for the home can generally be divided into two categories: countertop and whole-house. Countertop filters would include standalone units that sit on your kitchen or bathroom counter or attached or replace a sink faucet. These may or may not require a plumber to install, depending on the type. Whole-house units are integrated into the water-supply near a spot where the main pipe enters the house, and requires a knowledgeable plumber for installation.
If you’re considering a countertop filter, check out this comparison of 10 different filters from 9 different manufacturers.
See: Counter/Faucet Water Filter Comparison.
For a whole-house filter, the most cost-effective is probably the PureMaster 750; it appears to remove the most chemicals from the domestic water supply.