I filter one beer through something like this filter housing and a one micron filter. But that's only when I'm donating the beer for event distribution. It's a 6-day beer and can be a bit too cloudy for some people to drink. If you do plan on getting a similar filter, go to a Home Depot or the like because of prices.
The process is also time consuming and very dependant on your attention to detail in the areas of sanitation and minimizing oxidation. If done correctly, the results are outstanding, if not done correctly, you can take a perfectly good beer and turn it into pond water.
I don't filter because I'm lazy, however, a good friend of mine swears by it and filters everything he brews. It's taken him quite a while to perfect the process, but now that he's got the hang of it, his results are quite impressive. His latest effort took gold at the National Homebrew Conference in Baltimore in the British Ale category.
Personally, I don't think it's necessary, but it can be done on a homebrew scale. If you take shortcuts with equipment or processes, I think you will be dissappointed.