A great sounding filter like the onboard filter that comes with the A&H mixers is a great DJ tool. Live makes it easy to set up filters. Making them sound good involves a little more.
They basically work by sweeping away more and more low or high frequencies. The nice whooshing noise that comes with good filters is resonance or Q. To much resonance or Q sounds ear piercingly horrible and no resonance sounds just like a DJ EQ. (Q is a measure of the width of the frequency range altered by a peaking filter. The more Q, the sharper the peak)
Using Lives Auto Filter plug-in is one way to go about it. However, many people are using EQ8 to produce a nicer sounding filter sweep. I tried it and found that I liked it better than Auto Filter.
An alternative is the DJM800 emulations. These allow one knob to produce a low pass filter to one side and a high pass filter to the other side. The problem with these is that any midi knob has only 128 divisions. Dividing this by 2 leaves 64 divisions and I found that this left me with a filter that had to be operated like I was trying to wind my watch.