The orange ones allow you to have a very nice, but totally unrealistic sunset for example.
Here's a pic:
Even if most special effects filters have been made obsolete by post-processing tools, it is sometimes funny to keep using them. Several brands are still making them... I have been using (and still use) the Cokin system and some Ambico filters. In this digital world, it does not make sense anymore to spend a lot of money on filters, but if you can get some at a reasonable price (typically used) don't hesitate to experiment.
You'll typically need the following: an adapter ring you adapt to a lens as a normal filter (they come in different diameters depending on the lens of course), the filter mount you click on the adapter ring (they exist in different sizes and different depths - thin for wide angles, or thicker for more filters for normal lenses) and the filters themselves...
Those filters come in all kinds of "flavors". There are classical filters (polarizers, ND - neutral density filters,....) For those I would recommend normal filters you just directly screw on the lens.
You also have the grad filters, allowing to compensate for high contrast scenes like in sunny landscapes (see also here), the "serious ones being ND filters (neutral density, i.e. grey, not altering the color of the picture). They come in different values like ND2, ND4, ND8 allowing to reduce the light by one, two or three stops in this example. The "grad" effect also depends on the filter, you have filters which will give you a hard switch between the grey and the transparent area, and filters with a real gradual density all over the surface.
There are less serious ones to simulate
special effects with
colors, similar to the grad filters, but blue, pink, brown, orange,
whatever...
The orange ones allow you to have a very nice, but totally unrealistic
sunset
for example.
Here's a pic:
Other filters are sophisticated lenses,
allowing to do a partial
closeup, generate lines to give a speedy effect, or combining several
pictures
in one. Those have been made popular in the seventies in some TV-shows,
but are
not really used anymore (I would guess).
Here's an example of such a multi-lens effects filter on a few flowers:
