Hi, Trevor:
I'm not sure where to start, it's such a big topic . . .
I have implemented IIR filters in the Motorola 24 bit DSPs, and I've done FIR filters in the DSPs, as well as in the HC05s and HC08s. The large memory space of the ColdFire should allow for a wide range of FIR filters.
I have a FIR algorithm that uses only a subtract, add and replace for each iteration (NO multiplies or divides). However, it uses a simple box for windowing, so it's cutoff is not very sharp. I use it for motor control, not something as demanding as audio.
IIR filters are much harder to design than FIR filters, but you can get pretty high performance with a low memory and moderate cpu footprint. designing them means computing the coefficients (a0, b0, a1, b1 . . . ) which requires some serious math. I know of three manual methods of computing the coefficients, but all require calculus. I have a MathCad document/program that calculates the order of the IIR filter and the coefficients for me, using one of those methods. I can send it, if you like.
I can point you to some of the filter appnotes for the DSP56xxx, but I'm not sure if they would be much use, since they heavy with DSP code, but light in theory.