Filter layers show whatever layers are underneath them, but with a filter (such as blur, levels, brightness / contrast etc). For example, if you add a Filter Layer, and choose the blur filter, you will see every layer under your filter layer blurred.
Unlike applying a filter to a section of a paint layer, filter layers do not actually alter the original image in paint layers below them. This means you can tweak the filter at any time, and the changes can always be altered or removed.
Unlike filter masks, filter layers apply to the size of the whole canvas for the layers beneath it. If you wish to apply a filter layer to only *some* layers, then just add those layers into a group layer, with the filter layer on top.
You can edit the settings for a filter layer, by double clicking on it in the Layers Docker.