I don't filter my wines at all- but if someone gave me a filter, I probably would!
Filtering isn't really to remove most of the sediment- only time and racking will do that. After it's all done dropping lees, then you can filter. Filtering will "polish" the wines, and make them brilliantly clear. You do have to start with a clear wine, though. The downside is that you will filter out some flavor, like tannins and even strip out some color. I think I would probably not filter darker wines, but whites I would. Especially dandelion and rhubarb. They are beautiful, but would probably be brilliant and sparkle if filtered.
Here's some info on filtering: http://winemaking.jackkeller.net/finishin.asp
(about half way down the page)