Well, in my opinion, its a bit of an urban legend. After all, the fuel filter is there to prevent any harmful deposits reaching the engine. The fuel pickup is near the bottom of the fuel tank (naturally), so the engine (to put in aquatic terms) is a 'bottom feeder'.
However, what is more important is the accuracy of your fuel gauge (and associated computer/warning light). I would always suggest that you test this out by waiting until the tank is 3/4full, then brimming it - and comparing what went in vs what the handbook says a 1/4 tank should be. Repeat this at 1/2full and 1/4full, to get a broad picture.
If you notice the guage gets less accurate with less fuel in the tank - either replace the sender unit; don't let the fuel level stray much below; carry a spare gallon in the boot.
Just remember though - letting an engine run dry isn't a good idea as (especially in diesels), the fuel acts as a lubricant for the fuel pump - and any air in the system needs to be 'bled'.
As for different fuels - I would always choose a 'branded' fuel over a supermarket supplier - just look at theTesco/Morrisons fiasco if you need convincing - the costs aren't much different if you shop around. As for 'enhanced' fuels - well, I personally think an occasional tank will probably do some good (as would a suitable fuel additive), but unless your car's
can adjust for the octane levels or its recommended (i.e. FSI engines), then it probably won't be of long-term benefit for continuous use.
In my opinion, for 'regular' cars - one tank of the premium stuff every 4th/5th tank would give the benefits.
But bear in mind its no substitute for regular servicing, and a regime of preventative maintenance.