Whether filtering looks better or not probably depends on the exact game you're playing. Games with abstract, "clean" sprites, like Mario, look fine pixelated and it actually adds a bit to the gaming charm. Sprites that are meant to look really detailed, though, like SF2 sprites or Final Fantasy monsters, tend to look like a big weird blocky mess, since they were often drawn with the fuzziness of CRT actually in mind and in many cases even trying to take advantage of that.
Square games in fact tend to do this a lot, even up to the current generation (though I think with Last Remnant and XIII they're finally catching up to modern times). Even PS1 and PS2 era games look way better on a CRT than they do on a flat panel; see comments in the Final Fantasy thread that that FF7 backgrounds look a bit too detailed. When I first tried playing XII on my tuner card, I kept adjusting the thing thinking there was something wrong with it, until I finally realized that no, that's just what FFXII looks like without the usual glossy blurring of TV screen.
