Depending on the make they will usually come with a set of rear mounting filters. I have a 500mm f8 Centon and it comes with a standard UV, plus 2x and 4x ND filters (usually you have to have one of the filters attached).
As for use, anything that a normal 500mm lens can do although as stated it will give funny donut shaped bokeh and will usually be a bit softer than a normal lens.