Filters are used for many different purposes in your MailUp admin console.
They are shown in the advanced search options when you are looking for specific recipients
They are also shown at the time you set up a mailing, allowing you to narrow the list of recipients that will receive your message
They can be used to create Groups. For example, you could move into a new group called "Male under 30 in NYC" every recipient that meets the filters "Male", "Under 30", and located in "New York" (assuming you saved that information in the recipients' database)
They can also be used to send targeted triggered messages. For example, a "Thank You" note could be sent to customers that match the filter "Latest order date was 30 days ago" (the order date could be saved to the recipients' database by using an ecommerce integration)