Off the record, on the QT, and very hush-hush...Photoshop CS3 isn't a wonder at video quite yet! To apply a filter to all the frames of a video clip you have to convert the layer to a Smart Object, Filter>Convert to Smart Filter does the trick. Now an applied filter works on all frames.
The saved file will play inside of Photoshop CS3 but not in AE8, at least with the beta version. To see more than frame 1, you can then Save to Web for animated gif exports (as seen here with the Negative Layer Style preset), or use File>Export>Render Video.
I'm not aware of a way to get filters to animate but Layer Styles will, and they don't have to be Smart Objects if you don't resize. Just click the layer's twirly in the Animation palette and click the Styles keyframe button, then maybe move to another time and click on a style in the Styles palette. You don't have to export/render applied Styles, just save the PSD movie clip, import into AE and animate there too.
Update: Motionworks has a video tutorial showing a method using the Filmstrip format, which I used to hate because it would get corrupted easily. Looks like it's not as fragile now.
Update 2: I was reminded of Philipp-Spoeth's free Retrodots and the Halftone filter in Pete Warden's free filters when I happened upon a Japanese AE blog.