In reply to Dave:
I only have a 'protective' daylight Hoya filter on my 35mm lens, nothing similar for the others. 'Effects'-wise, I have the Cokin P-series, single filter holder and use adapters for the lenses for 3 different ND grads: 0.6 soft, 0.6 hard and 0.9 soft. I have a Polarising filter for my 18-105 but never use it. I've also just bought a 10 stop ND for my Tokina w/a lens. I suppose I should really get something protective for all my lenses but I'm generally very careful with them and feel anything additional in front of them is to be avoided if possible.
I use a LowePro case if it's just the DSLR I'm taking, or if it's everything I have a small-ish LowePro camera bag, which can hold all the lenses, flash, accessories etc, and the tripod can be strapped on the outside. It's very similar to this one:
http://www.jessops.com/online.store/categories/products/lowepro/flipside-40...