Pond filters (when placed BEFORE the pump) protect the pump from clogging from debris in the pond. More importantly, they purify the water and the environment, removing debris and excess nutrients from the water using 2 simple processes:
Mechanical Filtration acts as a barrier, trapping dirt and debris (usually in an easily-cleaned foam block) so that it can be removed. It is the first defence for clean, clear water.
Biological filtration is performed by beneficial bacteria which grow naturally in the filter media. These microscopic organisms convert the harmful toxins (ammonia and nitrite) which are manufactured by fish and decay processes into much safer nitrates, which are an excellent plant food.
In the process the water is made clean. The proper balance of bacteria against waste is the most important part of keeping a pond in healthy condition for fish and plants. Too little bacteria or too much waste will turn everything to muck.
Each time you add fish (or as your fish get larger) you will need more bacteria to "digest" the waste produced. Waste is also produced if you let debris lie on the bottom of the pool where it decays. Bacteria grows and multiplies naturally as it is fed (up to the limit that the filter media is capable of supporting). Think of your media chamber as an apartment building. Bacteria will multiply until all of the available apartments are full or until the food supply runs out.
If your need for waste digestion outstrips the media capacity (available apartments), you must either add another chamber for media or add another filter.
Newer filters often contain UV chambers (or you can purchase a separate one and add it to your system). As water passes over and is exposed to the intense UV light which is emitted by the sterilizer it kills micro-organisms such as parasites, bacterias (some harmful to fish) and kills algae spores to help end algae bloom. See a more in-depth article about UV sterilization
There are three types of useful pond filters.
A waterfall or fountain quickly becomes the focal point in your water garden. Additionally, moving water discourages mosquitoes, which prefer to breed in stagnant pools.
They also provide more shade to help protect your pond liner from UV light degradation.