I really don’t use filters that much. When one shoots hdr, using a filter is not so important usually. But for me, there are two exceptions. Either when I wan to have a longer exposure, when I use a ND filter, or when I shoot during a very sunny day, when I use the polarizer, to darken the sky. Of course one has to take into account where the sun is. For those who are not familiar with this, a polarizing filter works best when the sun is to the side form you. It does not work well when the sun is in front or behind you. Same for this photo, where the sun was to the left of me, at the almost perfect position. And the polarizer gave me a great result :)

This is a HDR from 5 exposures, created in Oloneo Photoengine and finished in Photoshop.