If you get a polarizing filter, make sure it's circular. A linear filter could possibly interfere with a camera's autofocus and/or metering.
Instead of buying a different size filter for every lens, you can buy one for the largest diameter thread mount and use step-down rings to fit the smaller lenses (though, this may or may not cause vignetting on ultra-wide angle lenses).
Or, if you don't mind investing the money and are interested in other types of filters (ie: ND, ND grad., filters for BW film, etc... ), the
LEE filter system is by far the most versatile and probably the highest quality of it's type. They're compatible with nearly every size and type of lens and lens mount (except monster telephotos). And you'll only need one filter that will work with every lens you own.
Hope this helps . . .