I'm NOT talking about a Pur or Britta filter, and I'm NOT talking about the filter in your fridge. Though these filters make your water taste better as well as filtering out some bad stuff, they don't get the most dangerous bacteria out.
You can purchase heavy-duty filters that eliminate bacteria and parasites at emergency supply or camping stores. They can be very expensive. There is currently a "straw" filter being developed for use in third-world countries. This technology may indeed make storing a filter with our home storage more cheap and practical. I'll update as I know more. I'm already seeing some knock-off straws that are available for around $10. The straw filter does not protect against giardia. Iodine tablets or colloidal silver can also be stored and added to water to clean it. Neither iodine or silver should be used long-term.
Here are two great articles on water filters by REI: