For the kettle, I bought a humongous fine strainer at a restaurant store for $12 that works really well if I'm using some whole hops (which end up acting like a filter). I strain into a bucket and then into the fermenter.
For fermentation, after trying pantyhose and whatnot, I have started filtering post-fermentation, when racking to the bottling bucket, using a sanitized copper Chore Boy wrapped around the end of my autosiphon with a (sanitized) rubber-band. It's one-time use on the Chore Boy, but if you do enough grocery shopping, these show up on sale now and then. It's amazing to see how much gets filtered out.