Lane 1-Q and Captain Black Royal are the same thing, made by the same company. Captain Black is the only one I've really smoked, I've tried a couple of others, can't remember their names but thought they were horrible. They weren't L1Q though, I do know that. I like Captain Black mainly because I can get it at any grocery store or pharmacy, otherwise I have to drive across town for a smoke shop.
It's really just a matter of personal preference anyway. I've been going to try some of the more expensive brands, but I like CB well enough. I'd recommend getting some good, plain bulk tobacco and flavoring your own. You have to experiment and it's a bit of a hassle, but once you get it right it's better. Plus, I know what's in the tobacco I'm smoking when I flavor my own.
And yeah, you should keep using the filter, not sure how long it takes to really season a new one, never had to. I would also recommend checking out yard sales and estate sales to find a good used pipe. There are website that show how to re-finish them, get rid of the teeth marks and such if you want. Just don't clean the inside of the bowl other than giving it a good scraping. It's a good idea to have two or more pipes because long time pipe smokers say you want to stick to one brand in one pipe.