Well for me the best application is landscapes, since I'm mostly a landscape photographer Others will use this filter for different reasons. Noble put it best: filters are for whenever you need them. They should not be used automatically for any type of photography.
Originally Posted by ToddB
All filters, no matter how bright their colour, work by blocking some light. So an orange filter works by blocking blue and green light, not by injecting additional orange light. That means you always lose some light, so you need a bigger aperture, slower shutter speed or higher ISO film to get the correct exposure.
Most filters have a "filter factor" on the front of the ring. For example, if you look at your yellow orange filter you will probably see "4x" on the front. That means your exposure needs to be 4 times as long as it would be without the filter (this is a rough guide, since the exact figure depends on the colours in the scene). Alternatively, you could open up the aperture by two stops (say from f/11 to f/5.6), which lets in 4x as much light; or use a film with a 4x higher ISO (ISO 400 instead of ISO 100, for example).