Simply think of them as a gateway for your servlets. You reach your servlets through them and leave out through them. If you see the first page (the graphic) of the Filters chapter in the Head First Servlets and JSP book, you will easily remember filters.
SCJP 1.4, SCWCD 1.4 - Hints for you, Certified Scrum Master
Did a rm -R / to find out that I lost my entire Linux installation!