Depends on what you are trying to achieve ...
The camera on your drone isn't anymore special regarding filters then any other camera ... the only difference is that the drone camera is somewhat inaccessible & not so stationary once you're airborne.
You have in general a couple of filter groups to consider.
ND: (Drone use yes, ND4,8,16,32 can be good to have, mainly for video)
Mainly sunshades which sole purpose is to let in less light to make your shutter slower.
For stills:
In very bright conditions were the camera shutter can't be faster (think it's 1/8000sec in general).
Make the shutter enough slow during daylight condition to make for instance running water become buttery smooth.
For video:
To achieve settings according to the "180 degree rule" -->
CINEMATIC MOTION BLUR – 180° RULE
For drone filming this should/could be considered below approx 30 meters altitude, higher then that the motion blur factor is of less importance & you can skip the ND for this purpose.
Graduated ND:
It's filters like ordinary ND but they are not equal dark through out ... usually the transition between a lighter bottom to a darker top goes in the middle of the filter. This is used to average out big light differences in the picture, for instance between a bright sky & a dark ground. Usually a motif like this will either get an overexposed sky for not getting the ground completely black ... or the opposite. Drone use ... ah, a bit fiddly & the horizon needs to be in the middle always so you can't pitch the camera down.
Circular Polarizing filters: (Drone use yes, but can be fiddly, mainly for stills or video if maintaining same angle towards sun)
These filters make clouds seemingly pop out from darkened blue skies, saturating colors and eliminating glare and reflections from the surfaces of water, glass and other polished surfaces. That they are called circular have to do with that the Polarizing filters are mounted in a secondary ring that you manually rotate while viewing your subject through the viewfinder until you dial in the desired level of Polarization. The specific rotation angle is unique for each angle between your camera pointing direction & the sun ... so for drone use they can be fiddly as you can't adjust once airborne. Would say that they are mostly for stills as it there you can pre-plan the camera direction & make adjustments before you fly.
The "group" of different effect filters:
This group include various filters that introduce adjustments to your still or video directly when you shoot ... for instance star filters which gives a starshape around every bright spot, or color correction filters that enhance certain colors. All of these is nowadays better to do in post.
