Your situation sounds similar to what I face.
I have a whole house neutralizer and softener system for my high iron well water. It works fairly well. The neutralizer and the softener each needs to be re-cycled 3 times a month or else I start getting very salty high iron water throughout my house.
Reverse Osmosis systems can be fine for drinking water but I believe they are very expensive for a whole-house set up.
I don't think a simple filter will solve your problem. From what you've described, you would be replacing a filter very frequently. You need a whole-house system so your sinks, bathtubs, and toilets all stay their original color, not to mention you want your drinking and cooking water to taste good and your dishes to be clean. I think rusty water makes a fine cologne. My wife doesn't.
You could always add an RO system for your drinking water for some of the cleanest water you can get, but the softener would solve most of your problems.