An interceptor could be conpared with an event listener in
Java. You register an interceptor witrh a SessionFactory and it allows you to interact with objects at certain points in the persistance lifecycle. For example you can implement an interceptor to validate objects in session just before they are saved.
A filter is a Hibernate 3 concept really. The idea with this is Collections of results can be filtered based on certain conditions. I've never used them, but I remember reading a Gavin King article saying they idea behind them was to do things like restrict objects available to users based on user role. So the query remains the same, but the results are filtered depending on authorisation rules.
Caching comes at two levels. The first level cache is implicit, if you get the same object twice in the same session (unless you flush the session) the second get is a cached object. The second level cache needs explicitly implemented using a third party product like JBossCache. You mark an objects "cachability" in its mapping file. How the obejct bahaves in the cache is specific to the cache implementation you use. The second level cache is a more advanced topic, if you want to know more about it I'd recommend you read Hibernate In Action, or the docs which come with the cache implementation.
[ December 14, 2004: Message edited by: Paul Sturrock ]