There's a fine line between filtering and validating. What's meant with filtering is things like add_slashes and mysql_real_escape_string, a uniform transformation on the input, regardless of it's destination.

Validating on the other hand is checking if the values satisfy the expected requirements.

You only want to apply certain filters if you know they apply the current output. (htmlentities if output as html, mysql_real_escape_string if embedded in a query).