The best wood filler I've used is called WunderFill, you can get it at Rocklers.
It's not cheap, but it's BY FAR the best filler I've worked with.
The crap you get at Home Depot just doesn't even come close.
But that's for actual furniture work where you'll be staining the wood. If you're just wanting to patch up damaged wood that you'll be painting, Wood glue and sawdust works well, or just about any filler will do for that.