Recently Adobe introduced some additional tools to the layers palette that have proven to be a huge progression. The tools are not entirely new but the way in which they are used is slightly different and way more robust for several reasons.
Lets say you wanted to adjust the color saturation of an image in your layout. Traditionally you would select your image layer then select your effect from the filter menu. Once you were satisfied with your adjustment you would then carry on with your design business.
However that maneuver was done in a way that isolates your effects into a step within your actions history. The only way to go back and change those effects would be to step back using undo, which inherently undoes all the steps you made along the way. Also, once you hit save those steps are history pal.
Here is where layer styles do the same thing but in a much more robust way. In that same scenario, rather than using the pull down filter menu, use the layer styles tool at the base of your layers panel. It opens an almost identical set of tools as the filter menu. The difference here is the effects apply on an object level directly to your layer. There is no timeline associated with these effects. Essentially you can add an unlimited number of effects to your layers which you can then toggle, adjust, and tune without any need to undo your steps.
What this does is give you design flexibility and complete control over your canvas. all of the elements in your design are available at the same time and you can adjust them individually and independently of any timeline. What a huge improvement. Additionally if a client wants to make changes three months down the road - if you've used layer styles you will surely be in a stronger position to accommodate the client than if you hadn't.
For these reasons you should always choose layer styles over filters.