One of the greatest offerings of powerhouse synths such as Native Instrument's Massive is the option to use multiple filters, each offering different filter types. If a synth's oscillators are the raw material of the sound, the filters are the tools needed to carve it into something amazing. By having two or more oscillators, each independently controlled, the variety of sounds you can get more than doubles.
There are so many different applications for multiple filters that I can only cover a few here. I will use Massive as the main example as it is probably one of the most prominent synths on the market.
Carving different oscillators in different ways.
You may have two very distinct sounds that you want to come through in your synth. Perhaps you want an aggressive saw going into a dubstep wobble, but a subtle sine wave lining the top of the sound. You obviously don't want the sine wave to go through the wobble filter, nor would you want any saw wave to be diverted from that filter.
The solution is you send them exclusively to different filters. In massive this means adjusting the sliders at the side of each oscillator (F1 to F2) and setting the filter function to parallel instead of series.
These steps allow the two filters to work as parallel processes on each sound without mixing them together.
Emphasising the Effect of One Filter
Sometimes one filter isn't enough. One really cool trick is to double up the filters with similar or otherwise filter types. Try automating a dubstep wobble with a low pass on Filter 1, while simultaneously using that same envelope/LFO to control a scream on filter 2.
This means you get the best of both filter types and a much more pronounced shape in your sound. Of course, this is a fairly obvious effect and so may be better left to the heavier sounds. Play about with the series/parallel mix to see what you prefer.
Mimicking Formants of Voice
This is undoubtedly tricky, however worth a play. By using bandpass filters at different frequencies and moving them both in sync and independently, you can start to simulate the formant resonances of the human voice. This is further improved when you discover the Formant effect on the actual oscillators.
Use these effects in conjunction and all of a sudden you can have a surprisingly complex vowel morph with your sound.