as a delay I can recommend an 80's digital: much cheaper as a good analog delay, a bit cleaner but still nice and more character/dirt as most modern digital delays.. Make sure it has modulation speed/width and short delay-times because that makes it also able to do flanger, doubler and chorus type effects. Those Boss half 19" racks series are worth checking out..
Phaser: if you want something nice and not too expensive I would go for a pedal like the Smallstone (maybe a bit harsh for the taste of some) and the Pearl PH3 is also nice..
I dont have that much experience with compressors so just stuffed my rack with old-skool DBX units and for me it works ok.. but it depends much in how you want to use them and what kind of result you want..
Filters are an different ball-game and like the compressor it depends very much on the type of sound/result/effect you are after.. A good filter can be a bit more expensive and I always prefer to use synths with audio-in or something like a Sherman.. But they all sound and work different and buying a synth just for the filter isn't a cheap option (cheap option: Korg monotron maybe?). Maybe you can also start with an EQ unit with sweeps, sometimes I use a Furman FG-10 and thats a lot of fun although its a bit noisy..
I'm a big effect-unit fan and never understood why a lot of people with analog/vintage gear have so little or no effects: just try a lot and experiment until you found the right unit/color/sound that suits you..
cheers!
TB or not TB