Water filtration systems:

* Carbon (or activated carbon). Removes chlorine by-products, lead, some metals, and some organic chemicals. Works by absoprtion. Does not remove bacteria, heavy metals, dissolved minerals, nitrates, or microbes.

Common drinking water contaminents (source: The Complete Guide to a Green Home, Black & Decker, p. 37.
Chlorine
Pesticides
Lead
Nitrates, mostly from nitrogen fertilizers.
Cysts (giardia, cryptosporidium)
bacteria
mercury
perfluorochemicals (PFCs), a common manmade chemical used in many household items and food packaging
Thrihalomethanes, resulting from methane gas produced when water is chloronated to kill bacteria
Radon
Asbestos
Soft metals such as chromium, copper, and aluminum
volatile organic compounds (VOCs)
Floruide, a common water additive.