"Regular" filters will affect the phase on a signal (Which isn't necesserally a bad thing in the world of audio, but can be a problem in seismic data for instance).
Good explanation from wiki:
"Since the group delay of a filter that has linear phase (or generalized linear phase) property is constant, all frequency components have equal delay times. So the distortion due to the frequency selective delays are not present which is mostly a desired feature. However, a filter with non-linear phase has a group delay that varies with frequency, resulting in phase distortion".
http://en.wikipedia.org/wiki/Linear_phase