Well, strictly speaking, they are
lenses and not filters
. The filter name sticks probably because they're available as a screw-in attachment.
I've experimented with them. They effectively reduce the focal length of the attached lens, allowing you to get closer as well as act as magnifiers.
The cheap ones are completely useless IMO. Most of the cheaper ones are not coated, so expect a) flare, b) chromatic aberration (typically blue/purple fringing), c) softer images, and d) vignetting or at the very least, softness at the edges.
Adding one in front of a zoom will generally make all those undesirable effects even more pronounced. I now use one cheap close up lens attachment that I'd acquired as a magnifying glass (all it is, essentially, is a convex lens). They're available in various dioptres (+1, +2, +3, +4,....+10). The higher the diopter, the closer you can get to your subject. This is irrespective of your focal length; whether you have a 50mm or a 200mm or a zoom or whatever, you just have to set your mounted lens to infinity... and you can get closer. Of course, the higher your focal length, greater the magnification achieved. A 200mm with a close up attachment will, for example, give you greater magnification than a 50mm with a close up lens attachment of the same dioptre.
You'll be better off if:
First, you use it with a prime, preferably a telephoto. Zooms already are kind of maxed out where elements are concerned, and really don't need yet another one in front of them.
Second, if you do go in for one (or a set) buy a well-known brand, such as Nikon, Canon, or Kodak. Nikon and Canon both offer two-element close up lenses that are coated as well, if I'm not mistaken. The two element variety takes care of some of the problems, especially flare and softness at the edges. These will be reduced, mind you... not eliminated.
They're not to my taste at all, frankly. But there are people who do use them and manage to get some really good images, in spite of their shortcomings.
The better close up lenses are more expensive, so you'd probably be better off buying an extension tube as gaz suggested. Or put in even a little more and you'd be able to get a macro.