If you want to go for deep sky imaging, you really need a thermo-cooled CCD camera. SBIG and Fingerlakes would be the two main companies. SBIG has patented the process of having 2 ccd chips in the one camera - one for guiding and the other is the main imaging chip. I have a SBIG ST8-XME and find this feature really useful. Fingerlakes don't have this feature but do make excellent cameras also. Atik are another company worth looking at and their latest cameras now have large chips and cooling. Starlight Xpress are worth checking out.
For planetary imaging, the DMK cameras are the way to go as Frank said above. However, they are not very effective at deep sky imaging as far as I am aware.
For filters, it depends what type of imaging you want to do. You can get LRGB filters for colour imaging or narrowband filters for images of nebulae. Personally, I used my camera for the last 2 years without filters and found it fine. I recently bought a filter wheel and LRGB filters but the weather has been so bad....
Like most things, you'll get what you pay for. Personally, I would highly recommend the SBIG cameras and they are excellent quality and have the built-in guide chip which makes them really easy to use and get good images straight out of the box. Only downside is the cost.
I would strongly recommend that you buy a copy of "The New CCD Astronomy" - superb book and gives very good practical advice.
In terms of finderscopes, I have used optical finderscopes in the past but much prefer a telrad.
Hope this helps. If you have any questions, please feel free to shout.
  