There are several types of filters available:
KDF (Kinetic Degradation Fluxion) filters use copper and zinc to electrochemically change the structure of particles like lead, chlorine, iron, mercury and hydrogen sulfide so that they're less harmful. If you want to know more, here's some rad science. However, there are some question as to the effectiveness of KDFs with low-flow showerheads, and they don't remove chloramines (chlorine plus ammonia) nearly as well as vitamin C filters.
Carbon filters are what you find in a Brita pitcher. Activated carbon is cheap, but it needs to be replaced often and tends to work better in cold water (not shower ideal). Because it does filter chloromine, carbon is usually used in conjunction with KDF like in this one.
Vitamin C filters use a tube of pure ascorbic acid to neutralize chlorine and chloramines. They do it very well (remove 99%), but keep in mind that they only filter those two chemicals, nothing else. Still, many claim this is the best option as it performs well in hot water. Vitamin C filters are popular in Asia and have only recently gained momentum in the US. For now, it's easiest to find them online.
After hours of research and stumbling on this review from Reactual, I've ordered a vitamin C filter. Your needs may be different depending on the contaminants in your water. Want to know what they are? The EWG will tell you! Other questions? Mr Water Filter has you covered!