If you are thinking of doing that at any point, this new Water Filter Guide from the Environmental Working Group is a really helpful run-down of the pros and cons of each type.
Personally, I have an under the sink Reverse Osmosis with a double carbon filter system for cooking and drinking water, a chlorine whole house filter and a special shower head to minimise water use. Do I feel smug? Yep.
You can see the water filter one I have and recommend here, along with other lifestyle stuff I have found to be excellent over the years.
Great reporting from EWG as usual, do support them if you can.