Protection: If you want to protect your lens1, get an UV-filter. That only makes another pane of glass, not really filtering anything away that would not be filtered away in camera later anyway. Get a good one: every filter is also a pane of glass eating your light and adding refraction (you wouldn't take all your family photos through a window, would you?)
Colour-filters: For a digital camera they are more or less useless2. You don't need to raise contrast like in BW-photography, you can play with the colour-channels later in any decent program. As it is a Canon, look in the menus, you can already adjust colours in camera AFAIK. If you really want to use colour-filters - set whitebalance on manual.
Polarized: look for CPL (circular polarized filters) [edit: drewbenn is right, a CPL might be necessary if your camera has dedicated focussing/light-measuring systems, as the SX30 should not have]. Dire warning: the effect isn't always really noticable on an electric viewfinder.
Where to buy? If you know that it has to be Hoya (Kenko), B+W or some other brand: use a trustworthy online-shop. If you do not really care, use Ebay ;)
On a decent lens of a SLR you can but the lens-cap on the filter. Don't know for the SX30. Aynone else?
1 Protecting your lens only makes sense if you work in extreme conditions, for example in a desert with hard blowing sand or beside a car-race with small flying stones. The lens itself is coated and at least as hard/durable as any filter can be. If you want to protect against letting the camera fall: get a lens hood, that might save the lens then.
2Except if you know that the colour X is so extreme, that it better be filtered out.