The function of individual filters is more or less self-explanatory; Games gives you an overview of game-related content, Status Updates shows you a stream of imageless updates from your buddies, Links focuses on status updates that contain links, Photos (probably the most useful filter) displays only posts with images, and Pages only shows you updates from Pages as opposed to persons on Facebook.
The option is not live for everyone yet, and it's possible that Facebook is merely testing the feature. The filters are also not entirely new; this is just another in a long line of Facebook's experiments with the News Feed. We like it, though: the new filters are easily accessible and we reckon many users (especially those with a lot of friends) will find them useful.