There is a simple, inexpensive device called a lens wrench (if I recall correctly) that you can buy if you really get stuck.
However, what works for me is simply to wrap my index finger and thumb around the filter (that is, with the entire length of my index finger and thumb, along with the webbing between them, in contact with the outside of the filter) and try to rotate it. This works better than just using my fingertips, because it provides lighter, more even pressure around the filter. Once it comes loose, you can release it and gently continue unscrewing it with your fingertips.
I use zip ties to get a stuck filter off. Use the short, thin straps, and link 4-5 of them together around the filter. The added grip from the zip ties and the raised locking section of the zip tie will add extra grip. Use your hand and unscrew as you normally would, with increasing pressure until the filter loosens. Works every time for me.